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Banks and Sovereign Risk : A Granular View

Buch, Claudia M. - 2015

implications of these exposures for bank risk. Larger, more capital market affine, and less capitalised banks hold more sovereign … that riskiness of government bond holdings affects bank risk only since 2010.This confirms the existence of a nexus between … government debt and bank risk …

Persistent link: https://www.econbiz.de/10013014660

Connectedness of Stress in EMU Bank and Sovereign CDS : The Role Policy Measures 2008-2014

Echevarria-Icaza, Victor - 2016

This paper measures the connectedness in European Economic and Monetary Union (EMU) sovereign and bank CDS between … analysis to evaluate the net directional connectedness for each country and bank. Finally, we interpret the policy conclusions … Draghi's 'whatever it takes' speech. Bank risk played a role in enhancing sovereign risk. However, the systemic impact of …

Persistent link: https://www.econbiz.de/10012999882

The Effect of Fiscal Announcements on Interest Spreads : Evidence from the Netherlands

de Jong, Jasper - 2018

We estimate the effect of consolidation efforts on investors' perception of government's solvency. To this end, we analyze announcements by Dutch government officials between September 2008 and December 2014 and select those messages that contain relevant new information on the likelihood and...

Persistent link: https://www.econbiz.de/10012926531

Quantifying Risks to Sovereign Market Access : Methods and Challenges

Zigraiova, Diana - 2020

In this paper we use data from the euro area to study episodes when sovereigns lose market access. We construct a detailed dataset with potential indicators of market access tensions, and evaluate their ability to forecast episodes when market access is lost, using various econometric...

Persistent link: https://www.econbiz.de/10012835616

Quantifying Risks to Sovereign Market Access : Methods and Challenges

Zigraiova, Diana - 2020

Persistent link: https://www.econbiz.de/10012843921

Quantifying Risks to Sovereign Market Access : Methods and Challenges

Zigraiova, Diana - 2020

Persistent link: https://www.econbiz.de/10012843947

The Marcoeconomic Effects of Oil Price, Credit Cycles, and the Sovereign Risk Premium

Luo, Kaisheng - 2020

Sovereign credit risk in developed countries was essentially non-existent prior to 2009. We find new factors suggesting that a part of the European sovereign risk premium is exogenously determined. We capture a novel phase synchronization that is associated with an increase in the cost of public...

Persistent link: https://www.econbiz.de/10012844493

Corporate Governance, Financial Ratios, Political Risk and Financial Distress : A Survival Analysis

Kristanti, Farida Titik - 2017

Objective - The objective of this study was to investigate the factors like corporate governance, financial ratios, and political risk and their impacts on company's survival.Methodology/Technique - Collecting data of Indonesian Stock Exchange from 2000 to 2014 and employing purposive random...

Persistent link: https://www.econbiz.de/10012952441

Illiquid Collateral and Bank Lending During the European Sovereign Debt Crisis

Barthelemy, Jean - 2017

We assess the effect of accepting illiquid assets as collateral at the central bank on banks' lending activity. We …

Persistent link: https://www.econbiz.de/10012954585

Ricardian Equivalence, Foreign Debt and Sovereign Default Risk

Eichler, Stefan - 2019

We study the impact of sovereign solvency on the private-public savings offset. Using data on 80 economies for 1989–2010, we find robust evidence for a U-shaped pattern in the private-public savings offset in sovereign credit ratings. While the 1:1 savings offset implied by Ricardian...

Persistent link: https://www.econbiz.de/10012902385