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Liquidity Spillovers in Sovereign Bond and CDs Markets : An Analysis of the Eurozone Sovereign Debt Crisis

Calice, Giovanni - 2012

At the end of 2009, countries in the Eurozone began to experience a sudden divergence of bond yields as the market …

Persistent link: https://www.econbiz.de/10013113384

Option-Implied Correlation between iTraxx Europe Financials and Non-Financials Indexes : A Measure of Spillover Effect in European Debt Crisis

Hui, Cho-Hoi - 2013

This paper proposes an analytic method to estimate the option-implied correlation embedded in options on the iTraxx Europe CDS indexes. The option-implied correlation is suggested as a measure of the spillover effect of default risk between the financial and corporate sectors in Europe. In...

Persistent link: https://www.econbiz.de/10013091234

Volatility Spillover Effects From Global and National Variables to Sovereign CDS Spreads : Evidence From Turkey

Cihangir, Çiğdem Kurt - 2020

In this study global and national variables that affect the sovereign Credit Default Swaps (CDS) spreads for Turkey are examined. The study utilities monthly time-series data, spanning from August of 2009 to September 2018. Empirical analysis is done in two steps: In the first step, the...

Persistent link: https://www.econbiz.de/10012840414

Liquidity Spillovers in Sovereign Bond and CDS Markets : An Analysis of The Eurozone Sovereign Debt Crisis

Calice, Giovanni - 2017

At the end of 2009, countries in the Eurozone began to experience a sudden divergence of bond yields as the perceived … sovereign credit default swap (CDS) market and the liquidity of the sovereign bond market for a group of Eurozone countries …. Empirically, we consider the differential spread on various Eurozone members sovereign bonds over the equivalent German benchmark …

Persistent link: https://www.econbiz.de/10012975864

The Transmission of Euro Area Sovereign Risk Contagion : Evidence from Intraday CDS and Bond Markets

Ters, Kristyna - 2016

We examine the role of the CDS and bond markets during and before the recent euro area sovereign debt crisis as transmission channels for credit risk contagion between sovereign entities. We analyse an intraday dataset for GIIPS countries as well as for France and Germany. Our findings suggest...

Persistent link: https://www.econbiz.de/10012979715

The Role of Macroeconomic News in Sovereign CDS Markets : Domestic and Spillover News Effects from the U.S., the Eurozone and China

Kim, Suk-Joong - 2015

The impact of domestic and spillover macroeconomic news from the U.S., the Eurozone and China on national sovereign … spread volatility and they are also economically more important than bad news. Bad news from China and the Eurozone generally …

Persistent link: https://www.econbiz.de/10013023253