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Decomposing the term structures of local currency sovereign bond yields and sovereign credit default swap spreads

Tsuruta, Masaru - In: The North American journal of economics and finance : a … 51 (2020), pp. 1-30

Persistent link: https://www.econbiz.de/10012659594

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

Bank use of sovereign CDS in the eurozone crisis : hedging and risk incentives

Acharya, Viral V.; Gündüz, Yalın; Johnson, Tim - 2018

Using a comprehensive dataset from German banks, we document the usage of sovereign credit default swaps (CDS) during the European sovereign debt crisis of 2008-2013. Banks used the sovereign CDS market to extend, rather than hedge, their long exposures to sovereign risk during this period....

Persistent link: https://www.econbiz.de/10011888333

Measuring connectedness of euro area sovereign risk

Buse, Rebekka; Schienle, Melanie - 2019

We introduce a method for measuring default risk connectedness of euro zone sovereign states using credit default swap (CDS) and bond data. The connectedness measure is based on an out-of-sample variance decomposition of model forecast errors. Due to its predictive nature, it can respond more...

Persistent link: https://www.econbiz.de/10011958223

Sovereign contagion in Europe : evidence from the CDS market

Manasse, Paolo; Zavalloni, Luca - 2013

This paper addresses the following questions. Is there evidence of financial contagion in the Eurozone? To what extent … matter concerning the Euro Zone. Second, differences in vulnerability to contagion within the Eurozone are even more … remarkable: the core Eurozone members become less vulnerable to EUZ contagion, possibly due to a safe-heaven effect, while …

Persistent link: https://www.econbiz.de/10011731038

The Relative Pricing of Sovereign Credit Risk after the Eurozone Crisis

Corvino, Raffaele - 2020

consistent cross-sectional relationship between default risk and bond yields is restored for the Eurozone countries only, a …

Persistent link: https://www.econbiz.de/10012853846

Flight patterns and yields of European Government Bonds

Schweinitz, Gregor von - 2013

möglicherweise problematischen Strukturbruch zurückzugreifen. Als Haupteffekte werden Kreditrisiko und flight …

Persistent link: https://www.econbiz.de/10009771035

Regime-dependent sovereign risk pricing during the euro crisis

Delatte, Anne-Laure; Fouquau, Julien; Portes, Richard - 2016

Previous work has documented a greater sensitivity of long-term government bond yields to fundamentals in Euro area stress countries during the euro crisis, but we know little about the driver(s) of regime-switches. Our estimates based on a panel smooth threshold regression model quantify and...

Persistent link: https://www.econbiz.de/10011974869

Time-Varying Dependence in Sovereign and Bank Credit Spreads : Evidence from Europe

Meine, Christian - 2014

This paper shows how a measure of bank-sovereign contagion can be extracted from CDS spreads using conditional Copula functions. I estimate the probability of a European bank to experience extreme upward co-movements in CDS spreads together with its home sovereign. Two main results are obtained....

Persistent link: https://www.econbiz.de/10013062121

Bank Use of Sovereign CDS in the Eurozone Crisis : Hedging and Risk Incentives

Acharya, Viral V. - 2019

Persistent link: https://www.econbiz.de/10012898392

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