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The Risk of the Sovereign Debt Default : The Eurozone Crisis 2008-2013

Stamatopoulos, Theodoros V. - 2016

We investigate the relationship of the market pricing of sovereign risk to default, through CDS spreads for 16 Eurozone … discrimination between South and West Euro Area Periphery (SWEAP) and the core Eurozone, highlighting asymmetries discovered either … words, the “fragility hypothesis of the Eurozone” …

Persistent link: https://www.econbiz.de/10012976894

Flight-to-Liquidity Flows in the Euro Area Sovereign Debt Crisis

Garcia, Juan A. - 2014

In periods of market stress, portfolio reallocations in bond markets reflect both safety and liquidity concerns. Using … sovereign and national agency bonds, we construct indicators of liquidity premia in major euro area bond markets; we document … the weakening of the correlation between core and periphery market liquidity during the euro area sovereign bond crisis …

Persistent link: https://www.econbiz.de/10013040221

A Market-Based Analysis of Italy’s Redenomination Risk : between EMU Limits and Eurosceptic Sentiments

Minenna, Marcello - 2020

Since the global financial crisis Eurozone’s architectural flaws and risk segregating policies have raised an issue of …

Persistent link: https://www.econbiz.de/10014092450

Debt stabilization and debt mutualization in a monetary union with endogenous risk premia

Engwerda, Jacob Christiaan; Aarle, Bas van; Weeren, … - 2015

In this paper we analyse debt stabilization in a monetary union that features endogenous risk premia. In particular, we analyse debt stabilization in two diametrically opposed regimes. In the first regime, the "national fiscal discipline regime", financial markets impose sovereign risk premia...

Persistent link: https://www.econbiz.de/10011350136

The power of opinion : more evidence of a GIPS-markup in sovereign ratings during the euro crisis

Nauhaus, Steffen - 2015

the Eurozone crisis in 2009, irrespective of economic and institutional fundamentals. A subsequent analysis of the markup …

Persistent link: https://www.econbiz.de/10011317827

Escape routes from sovereign default risk in the euro area

Semmler, Willi; Proaño Acosta, Christian - 2015

The recent financial and sovereign debt crises around the world have sparked a growing literature on models and empirical estimates of defaultable debt. Frequently households and firms come under default threat, local governments can default, and recently sovereign default threats were eminent...

Persistent link: https://www.econbiz.de/10010498572

Fiscal Spillovers in the Euro Area

Caporale, Guglielmo Maria - 2011

This paper analyses the dynamic effects of fiscal imbalances in a given EMU member state on the borrowing costs of other countries in the euro area. The estimation of a multivariate, multi-country time series model (specifically a Global VAR, or GVAR) using quarterly data for the EMU period...

Persistent link: https://www.econbiz.de/10013119070

Government Bonds and Their Investors : What are the Facts and Do They Matter?

Andritzky, Jochen R. - 2012

government bond markets. The financial crisis broke this trend. Domestic financial institutions allocated a larger share of … points, respectively. The data show a varied lead-lag relationship between bond yields and investor holdings. Portfolio …

Persistent link: https://www.econbiz.de/10013102203

Overcrowding Versus Liquidity in the Euro Sovereign Bond Markets

Coppola, Andrea - 2014

significant relationship between bunching in issues and bond yields …

Persistent link: https://www.econbiz.de/10013066593

Fiscal Spillovers in the Euro Area

Caporale, Guglielmo Maria - 2012

Persistent link: https://www.econbiz.de/10013112600