Similar Search Results

Systemic risk and sovereign debt in the Euro area

Radev, Deyan - 2013

We introduce a new measure of systemic risk, the change in the conditional joint probability of default, which assesses the effects of the interdependence in the financial system on the general default risk of sovereign debtors. We apply our measure to examine the fragility of the European...

Persistent link: https://www.econbiz.de/10010226548

Contagion dynamics in EMU government bond spreads

Leschinski, Christian; Bertram, Philip - 2013

There is a growing consensus that part of the surge in government bond spreads during the EMU debt crisis can be explained by wake-up-call contagion. Evidence on pure contagion however is very mixed and there are no insights into the dynamics of these effects. As a contribution to fill this gap,...

Persistent link: https://www.econbiz.de/10010239744

Announcements of ECB unconventional programs : implications for the sovereign risk of Italy

Falagiarda, Matteo; Reitz, Stefan - 2013

This paper studies the effects of ECB communications about unconventional monetary policy operations on the perceived sovereign risk of Italy over the last five years. More than fifty events concerning non-standard operations are identified and classified with respect to the specific ECB...

Persistent link: https://www.econbiz.de/10009783711

Bank exposures and sovereign stress transmission

Altavilla, Carlo; Pagano, Marco; Simonelli, Saverio - 2016 - This version: 16 September 2016

especially in coincidence with the largest ECB liquidity injections. Second, bank exposures significantly amplified the …

Persistent link: https://www.econbiz.de/10011541386

Measuring connectedness of Euro area sovereign risk

Gätjen, Rebekka; Schienle, Melanie - 2015

We introduce a methodology for measuring default risk connectedness that is based on an out-of-sample variance decomposition of model forecast errors. The out-of-sample nature of the procedure leads to "realized" measures which, in practice, respond more quickly to crisis occurrences than those...

Persistent link: https://www.econbiz.de/10010503874

Sovereign credit risk co-movements in the eurozone : simple interdependence or contagion? ; conference paper

Buchholz, Manuel; Tonzer, Lena - 2014

Since the onset of the eurozone sovereign debt crisis, credit risk spreads in Europe have diverged. Despite this divergence, credit risk comoves strongly within certain country groups such as the eurozone periphery. We seek to answer what the determinants of the observed pattern of credit risk...

Persistent link: https://www.econbiz.de/10010486057

Sovereign risk contagion in the Eurozone : a time-varying coefficient approach

Ludwig, Alexander - 2013

This paper analyzes sovereign risk contagion in the Eurozone using an extension to the canonical model for contagion proposed by Pesaran and Pick (2007) and Metiu (2012) to allow for time-varying coefficients. This becomes necessary due to changes in the risk pricing of sovereign bonds since the...

Persistent link: https://www.econbiz.de/10010222446

Has the CDS Market Influenced the Borrowing Cost of European Countries During the Sovereign Crisis?

Delatte, Anne Laure - 2012

This paper assesses the potential influence of the growing CDS market on the borrowing cost of sovereign states during the European sovereign crisis. We analyze the sovereign debt market to ascertain the pattern of information transmission between the CDS and corresponding bond markets. Our...

Persistent link: https://www.econbiz.de/10013114194

Financial Contagion During Lehman Default and Sovereign Debt Crisis : An Empirical Analysis on Euro Area Bond and Equity Markets

Gentile, Monica - 2012

The recent Euro area crisis, which has originally been driven mainly by macroeconomic factors, has had a strong impact also on financial markets leading internationally to what is referred as contagion, that is co-movements among asset prices which have been excessive respect to fundamentals....

Persistent link: https://www.econbiz.de/10013096061

Bank/Sovereign Risk Spillovers in the European Debt Crisis

Bruyckere, Valerie De - 2012

This paper investigates contagion between bank risk and sovereign risk in Europe over the period 2006-2011. Since this … period covers various stages of the banking and sovereign crisis, it offers a fertile ground to analyze bank/sovereign risk … explained by common factors, using CDS spreads at the bank and at the sovereign level. Moreover, we investigate the determinants …

Persistent link: https://www.econbiz.de/10013099198