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Europe needs more than a Capital Markets Union : focus on the integration of euro area sovereign debt markets

Breitenfellner, Andreas; Schuberth, Helene - In: Vierteljahrshefte zur Wirtschaftsforschung 86 (2017) 2, pp. 9-20

With a view to establishing a Capital Markets Union (CMU), efforts to integrate (private) capital markets and private risk-sharing in the European Union are underway. However, the single (capital) market will be burdened by a perennial potential threat to sovereign bond market stability in the...

Persistent link: https://www.econbiz.de/10012051172

Sovereign risk premia : the link between fiscal rules and stability culture ; conference paper

Heinemann, Friedrich; Osterloh, Steffen; Kalb, Alexander - 2013

There is a growing empirical literature studying whether fiscal rules reduce borrowing costs. Nevertheless, it remains an open question whether these rules are effective genuinely or just because they mirror fiscal preferences of politicians and voters. In our analysis of European bond spreads,...

Persistent link: https://www.econbiz.de/10010336738

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

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

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

Tail Dependence of Eurozone Sovereign CDS Spreads

Arakelian, Veni - 2018

Using a flexible threshold copula model, we investigate the pairwise tail dependence of Eurozone sovereign credit …

Persistent link: https://www.econbiz.de/10012914425

Announcements of ECB unconventional programs : implications for the sovereign risk of Italy

Falagiarda, Matteo; Reitz, Stefan - 2013

This paper studies the effects of ECB communications about unconventional monetary policy operations on the perceived sovereign risk of Italy over the last five years. More than fifty events concerning non-standard operations are identified and classified with respect to the specific ECB...

Persistent link: https://www.econbiz.de/10009783711

Credit rating agency announcements and the eurozone sovereign debt crisis

Baum, Christopher F.; Karpava, Margarita; Schäfer, Dorothea - 2013

French, Italian, German and Spanish long-term sovereign bonds during the culmination of the Eurozone debt crisis in 2011 …-time capital allocation in the Eurozone. Their downgradings caused investors to rebalance their portfolios across member countries …

Persistent link: https://www.econbiz.de/10010206145

Flight patterns and yields of European Government Bonds

Schweinitz, Gregor von - 2013

The current European Debt Crisis has led to a reinforced effort to identify the sources of risk and their influence on yields of European Government Bonds. Until now, the potentially nonlinear influence and the theoretical need for interactions reflecting flighttoquality and flight-to-liquidity...

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

Speculation in European Sovereign Debt Markets

Frijns, Bart - 2016

European sovereign debt markets have been under scrutiny ever since the sovereign debt crisis of 2009. In this paper, we decompose bond and CDS spreads into fundamental and non-fundamental parts by means of a heterogeneous agent model. The model contains arbitrageurs who make use of the...

Persistent link: https://www.econbiz.de/10012999936