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European versus Anglo-Saxon credit view : evidence from the eurozone sovereign debt crisis

Altdörfer, Marc; De las Salas Vega, Carlos Andres; … - 2016

the assignment of sovereign credit ratings, using the Eurozone sovereign debt crisis of 2009-2012 as a natural laboratory … two more US-tied peers, assigned on average more favourable ratings to Eurozone issuers during the crisis. However, Fitch …'s better ratings for Eurozone issuers seem to be neglected by investors as they rather follow the rating actions of Moody's and …

Persistent link: https://www.econbiz.de/10011570580

Beyond spreadsmeasuring sovereign market stress in the euro area

Garcia de Andoain, Carlos; Kremer, Manfred - 2018

In this paper we propose a composite indicator that measures multidimensional sovereign bond market stress in the euro area as a whole and in individual euro area member states. It integrates measures of credit risk, volatility and liquidity at short-term and long-term bond maturities into a...

Persistent link: https://www.econbiz.de/10011921004

What drives sovereign debt portfolios of banks in a crisis context?

Lamas, Matías; Mencía, Javier - 2019

We study determinants of sovereign portfolios of Spanish banks over a long time-span, starting in 2008. Our findings challenge the view that banks engaged in moral hazard strategies to exploit the regulatory treatment of sovereign exposures. In particular, we show that being a weakly capitalized...

Persistent link: https://www.econbiz.de/10011978836

Have Euro area government bond risk premia converged to their common state?

Pozzi, Lorenzo; Wolswijk, Guido Franciscus Theodorus - 2008

We derive a model in which a standard international capital asset pricing (ICAPM) model is nested within an ICAPM model with market imperfections. In the latter model an idiosyncratic stochastic factor affects the return of risky assets (over a risk-free rate) on top of the systematic component...

Persistent link: https://www.econbiz.de/10011374402

Sovereign credit risk dynamics in the European Monetary Union (EMU)

Patra, Theophano; Poshakwale, Sunil S.; Thomas, Vassilis - In: Applied financial economics 24 (2014) 13/15, pp. 1031-1041

Persistent link: https://www.econbiz.de/10010415304

Quantifying the transmission of European sovereign default risk

Dumitru, Ana-Maria H.; Holden, Tom D. - 2019

We build a non-stationary Hawkes model of sovereign credit risk for seven European countries, and estimate it on CDS data from the run-up to the Greek default. We model a country's credit risk as partly driven by a weighted combination of risks across countries. We find Spain and Portugal are...

Persistent link: https://www.econbiz.de/10012063227

A Joint Non-Parametric Approach to the Decomposition of Bond Yields and CDS Spreads : Application of Eurozone Market Data

Lapshin, Victor - 2013

developed methodology to data on major Eurozone sovereign borrowers and consider the most recent period of the Eurozone debt …

Persistent link: https://www.econbiz.de/10013085033

The eurozone financial crisis : role of interdependencies between bank and sovereign risk

Barth, James R.; Prabha, Apanard; Yun, Greg - In: Journal of financial economic policy 4 (2012) 1, pp. 76-97

Persistent link: https://www.econbiz.de/10009547141

Impacts of the financial crisis on eurozone sovereign CDS spreads

Gündüz, Yalın; Kaya, Orcun - In: Journal of international money and finance 49 (2014), pp. 425-442

Persistent link: https://www.econbiz.de/10010464931

Investigating the behaviour of sovereign risk for Eurozone countries

Agiakloglou, Christos N.; Deligiannakis, Emmanouil; … - In: Applied economics 53 (2021) 53, pp. 6204-6212

Persistent link: https://www.econbiz.de/10012650392