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How does sovereign bond market integration relate to fundamentals and CDS spreads?

Chaieb, Ines; Errunza, Vihang R.; Gibson, Rajna - 2016

dissipating local risk premiums. Integration of the sovereign bond markets increases by about 10% on average, when a country moves … inflation risk, and lower illiquidity. The 10% increase in integration leads to, on average, a decrease in the sovereign cost of …

Persistent link: https://www.econbiz.de/10011618981

Risky Sovereign Capital Structure : Macrofinancial Diagnostics

Yordanov, Vilimir - 2018

We build an enhanced structural credit risk Merton style model for a risky sovereign having both domestic and foreign …

Persistent link: https://www.econbiz.de/10012937300

Euro Crisis : From the Sovereigns to the Banks and Back to the Sovereigns

Gurdgiev, Constantin - 2011

The global financial crisis of 2007-2009 crystallized the underlying imbalances that are currently acting to tear apart the Euro area monetary and fiscal systems by focusing markets and public attention on the core cause of the overall Euro crisis, the insolvency of the Euro area member-states...

Persistent link: https://www.econbiz.de/10013122727

Sovereign contagion in Europe : evidence from the CDS market

Manasse, Paolo; Zavalloni, Luca - 2013

sovereign risk factor, a European sovereign risk factor and a Financial intermediaries risk factor. Our main findings are as …

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

Credit Rating Agency Announcements and the Eurozone Sovereign Debt Crisis

Baum, Christopher F. - 2013

This paper studies the impact of credit rating agency (CRA) announcements on the value of the Euro and the yields of French, Italian, German and Spanish long-term sovereign bonds during the culmination of the Eurozone debt crisis in 2011-2012. The employed GARCH models show that CRA downgrade...

Persistent link: https://www.econbiz.de/10013073134

Credit rating agency announcements and the eurozone sovereign debt crisis

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

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

Global Risk in Long-Term Sovereign Debt

Borri, Nicola - 2020

that, while the default premium does not contribute to carry trade strategies, the contribution of interest rate risk …, captured by the term premium, is large and increases with maturity. We introduce default risk in an otherwise standard affine …

Persistent link: https://www.econbiz.de/10012853298

Uncertainty Premia, Sovereign Default Risk, and State-Contingent Debt

Roch, Francisco; Roldán, Francisco - 2022

We analyze how concerns for model misspecification on the part of international lenders affect the desirability of issuing state-contingent debt instruments in a standard sovereign default model à la Eaton and Gersovitz (1981). We show that for the commonly used threshold state-contingent bond...

Persistent link: https://www.econbiz.de/10014030625

Sovereign credit risk co-movements in the eurozone : simple interdependence or contagion? ; conference paper

Buchholz, Manuel; Tonzer, Lena - 2014

Since the onset of the eurozone sovereign debt crisis, credit risk spreads in Europe have diverged. Despite this … divergence, credit risk comoves strongly within certain country groups such as the eurozone periphery. We seek to answer what the … determinants of the observed pattern of credit risk co-movements are and whether and during which periods sovereign debt markets …

Persistent link: https://www.econbiz.de/10010486057

Determinants of sovereign bond yield spreads and contagion in the peripheral EU countries

Silvapulle, Paramsothy; Fenech, Jean Pierre; Thomasa, Alice - In: Economic modelling 58 (2016), pp. 83-92

Persistent link: https://www.econbiz.de/10011647047