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Bank Exposures and Sovereign Stress Transmission

Altavilla, Carlo; Pagano, Marco; Simonelli, Saverio - 2021

Using novel monthly data for 226 euro-area banks from 2007 to 2015, we investigate the determinants of changes in banks’ sovereign exposures and their effects during and after the euro crisis. First, the publicly owned, recently bailed out and less strongly capitalized banks reacted to...

Persistent link: https://www.econbiz.de/10013315487

Bank exposures and sovereign stress transmission

Altavilla, Carlo; Pagano, Marco; Simonelli, Saverio - 2016

Using novel monthly data for 226 euro-area banks from 2007 to 2015, we investigate the causes and effects of banks' sovereign exposures during and after the euro crisis. First, in the vulnerable countries, the publicly owned, recently bailed out and less strongly capitalized banks reacted to...

Persistent link: https://www.econbiz.de/10011974892

ESBies : Safety in the Tranches

Brunnermeier, Markus K. - 2016

The euro crisis was fueled by the diabolic loop between sovereign risk and bank risk, coupled with cross-border flight-to-safety capital flows. European Safe Bonds (ESBies), a union-wide safe asset without joint liability, would help to resolve these problems. We make three contributions. First,...

Persistent link: https://www.econbiz.de/10012982881

Towards a Stable Monetary Union : What Role for Eurobonds?

Gilbert, Niels D. - 2013

This paper investigates the role that Eurobonds could play in making EMU stable in the long run. We establish that EMU's budgetary problems are not only caused by lack of budgetary discipline, but also by the large and sudden fiscal deterioration during the financial crisis. This type of shock...

Persistent link: https://www.econbiz.de/10013081495

Debt levels, debt composition, and sovereign spreads in emerging and advanced economies

Dell’Erba, Salvatore; Hausmann, Ricardo; Panizza, Ugo - 2013

spreads is about one fifth of the corresponding correlation for emerging market economies. In Eurozone countries, however, the … financial crisis amplified the relationship between spreads and debt levels within the Eurozone but had no effect on the … liabilities is larger in the Eurozone than in standalone advanced economies. The paper concludes that debt composition matters and …

Persistent link: https://www.econbiz.de/10010189310

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

Euro Area Sovereign Risk Spillovers Before and after the Ecb's OMT Announcement

Gilbert, Niels D. - 2019

We study the dynamics of sovereign risk spillovers from (and between) Spain and Italy, before and after the ECB's announcement of the OMT program. We identify domestic Italian and Spanish sovereign risk shocks through an intraday event study. The shocks are used as external instruments in...

Persistent link: https://www.econbiz.de/10012870566

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

Sovereign debt crisis in Portugal and Spain

Afonso, António; Verdial, Nuno - 2020

into the Eurozone. We assessed the pricing of sovereign risk by performing an OLS/2SLS fixed effects panel analysis on a … pool of Eurozone countries and a SUR regression with Portugal and Spain covering the period 1999:11 until 2019:6. Our …. Specifically, market pricing of the Eurozone credit risk, liquidity risk and the risk appetite increased after the crisis and it …

Persistent link: https://www.econbiz.de/10012164218

Time-scale analysis of sovereign bonds market co-movement in the EU

Smolik, Filip; Vacha, Lukas - 2015

horizons, and through time. We divide the countries into three groups; the Core of the Eurozone, the Periphery of the Eurozone … and the states outside the Eurozone. Results indicate that co-movement considerably decreased in the crisis period for all …

Persistent link: https://www.econbiz.de/10011280710