What is the risk of European sovereign debt defaults? Fiscal space, CDS spreads and market pricing of risk

Aizenman, Joshua; Hutchison, Michael; Jinjarak, Yothin; Jinjarak, Yothin; Aizenman, Joshua

Fiscal Space and Policy Response to Financial Crises: Market Access and Deficit Concerns. (2024). Venetis, Ioannis ; Salamaliki, Paraskevi K.
In: Open Economies Review.
RePEc:kap:openec:v:35:y:2024:i:2:d:10.1007_s11079-023-09724-7.
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Oil price uncertainly and sovereign credit risk in GCC countries: fresh evidence. (2024). Maghyereh, Aktham ; Abdoh, Hussein.
In: International Economics and Economic Policy.
RePEc:kap:iecepo:v:21:y:2024:i:2:d:10.1007_s10368-024-00607-x.
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The Changing Behavior of the European Credit Default Swap Spreads During the Covid-19 Pandemic: A Bayesian Network Analysis. (2024). Önder, A. Özlem ; Kila, Gul Huyuguzel ; Cinicioglu, Esma Nur ; Muradolu, Gulnur Y.
In: Computational Economics.
RePEc:kap:compec:v:63:y:2024:i:3:d:10.1007_s10614-023-10489-x.
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Quantifying sovereign risk in the euro area. (2024). Sosvilla-Rivero, Simon ; Gomez-Puig, Marta ; Singh, Manish K.
In: IREA Working Papers.
RePEc:ira:wpaper:202403.
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Spatial analysis of sovereign risk from the perspective of EPU spillovers. (2024). Huang, Wei-Qiang ; Liu, Peipei.
In: International Review of Economics & Finance.
RePEc:eee:reveco:v:89:y:2024:i:pa:p:427-443.
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Mispricing of debt expansion in the eurozone sovereign credit market. (2024). Zenios, Stavros A ; Milidonis, Andreas ; Lotfi, Somayyeh.
In: Journal of Financial Stability.
RePEc:eee:finsta:v:70:y:2024:i:c:s1572308923001158.
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The spillover and contagion effects of sovereign risk on stock markets. (2024). Simo-Kengne, Beatrice Desiree ; Manguzvane, Mathias Mandla ; Gnagne, Pascal Xavier.
In: Economic Modelling.
RePEc:eee:ecmode:v:141:y:2024:i:c:s0264999324002785.
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Forecasting sovereign risk in the Euro area via machine learning. (2023). Istrefi, Klodiana ; CAICEDO GRACIANO, Carlos Mateo ; Boeckelmann, Lukas ; di Iorio, Alberto ; Belly, Guillaume ; Stallabourdillon, Arthur ; Siakoulis, Vasileios.
In: Journal of Forecasting.
RePEc:wly:jforec:v:42:y:2023:i:3:p:657-684.
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Sovereign risk connectedness: the impact of ECB’s policy announcements in Central and Eastern Europe. (2023). Nioi, M ; Ciocirlan, C.
In: Empirica.
RePEc:kap:empiri:v:50:y:2023:i:4:d:10.1007_s10663-023-09583-y.
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Frontier markets sovereign risk: New evidence from spatial econometric models. (2023). Telila, Henok Fasil.
In: Finance Research Letters.
RePEc:eee:finlet:v:58:y:2023:i:pd:s1544612323010371.
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A global monetary policy factor in sovereign bond yields. (2023). Migiakis, Petros ; Malliaropulos, Dimitris.
In: Journal of Empirical Finance.
RePEc:eee:empfin:v:70:y:2023:i:c:p:445-465.
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Local guarantees and SOE bond pricing in China. (2023). Wu, Sharon Xiaohui ; Wang, Yabin.
In: China Economic Review.
RePEc:eee:chieco:v:78:y:2023:i:c:s1043951x23000056.
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Fiscal Rules, Independent Fiscal Institutions, and Sovereign Risk. (2023). Sprincean, Nicu ; Georgescu, George ; Capraru, Bogdan.
In: Working Papers of Romania Fiscal Council.
RePEc:ane:wpcfro:230201.
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Analysis of Dynamic Connectedness among Sovereign CDS Premia. (2023). Ceylan, Ozcan.
In: World Journal of Applied Economics.
RePEc:ana:journl:v:9:y:2023:i:1:p:33-47.
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Sovereign Risk and the Bank Lending Channel: Differences across Countries and the Effects of the Financial Crisis. (2022). Olmo, Begoa Torre ; Torreolmo, Begoa ; Azofra, Sergio Sanfilippo ; Sanfilippoazofra, Sergio ; Canterosaiz, Maria.
In: Journal of Money, Credit and Banking.
RePEc:wly:jmoncb:v:54:y:2022:i:1:p:285-312.
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Towards a New Euro Crisis?. (2022). de Grauwe, Paul ; DeGrauwe, Paul.
In: Intereconomics: Review of European Economic Policy.
RePEc:spr:intere:v:57:y:2022:i:5:d:10.1007_s10272-022-1078-x.
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Sovereign bond market integration in the euro area: a new empirical conceptualization. (2022). Dufrenot, Gilles ; Jawadi, Fredj ; Ftiti, Zied.
In: Annals of Operations Research.
RePEc:spr:annopr:v:318:y:2022:i:1:d:10.1007_s10479-022-04847-5.
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The determinants of sovereign risk premiums in the UK and the European government bond market: the impact of Brexit. (2022). Kadiric, Samir.
In: International Economics and Economic Policy.
RePEc:kap:iecepo:v:19:y:2022:i:2:d:10.1007_s10368-022-00535-8.
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Dynamics of the public-debt-to-gdp ratio: can it explain the risk premium of treasury bonds?. (2022). Lagoa, Sergio C ; Leo, Emanuel R ; Bhimjee, Diptes P.
In: Empirica.
RePEc:kap:empiri:v:49:y:2022:i:4:d:10.1007_s10663-022-09547-8.
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Fiscal tensions and risk premium. (2022). Ciżkowicz, Piotr ; Rzoca, Andrzej ; Parosa, Grzegorz ; Cikowicz, Piotr.
In: Empirica.
RePEc:kap:empiri:v:49:y:2022:i:3:d:10.1007_s10663-022-09532-1.
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Bank credit risk and macro-prudential policies: role of counter-cyclical capital buffer. (2022). Sousa, Ricardo ; Mallick, Sushanta K ; Kumar, Abhishek ; Benbouzid, Nadia ; Stojanovic, Aleksandar.
In: LSE Research Online Documents on Economics.
RePEc:ehl:lserod:117539.
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The fragility of the Eurozone: has it disappeared?. (2022). Ji, Yuemei ; de Grauwe, Paul.
In: LSE Research Online Documents on Economics.
RePEc:ehl:lserod:112543.
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A closer look into the behavior of emerging market sovereign spreads: State-dependent and asymmetric behaviors. (2022). Kayalidere, Koray ; AKTAS, Huseyin ; Cayirli, Omer.
In: International Review of Economics & Finance.
RePEc:eee:reveco:v:77:y:2022:i:c:p:522-548.
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A cross-country database of fiscal space. (2022). Sugawara, Naotaka ; Ohnsorge, Franziska ; Kurlat, Sergio ; Kose, Ayhan M.
In: Journal of International Money and Finance.
RePEc:eee:jimfin:v:128:y:2022:i:c:s0261560622000857.
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The fragility of the Eurozone: Has it disappeared?. (2022). Ji, Yuemei ; de Grauwe, Paul ; DeGrauwe, Paul.
In: Journal of International Money and Finance.
RePEc:eee:jimfin:v:120:y:2022:i:c:s0261560621001972.
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Ripples into waves: Trade networks, economic activity, and asset prices. (2022). Polk, Christopher ; Lou, Dong ; Du, Huancheng ; Chang, Jeffery.
In: Journal of Financial Economics.
RePEc:eee:jfinec:v:145:y:2022:i:1:p:217-238.
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Assessing the impact of policy and regulation interventions in European sovereign credit risk networks: What worked best?. (2022). Urban, Jorg ; Schienle, Melanie ; Buse, Rebekka.
In: Journal of International Economics.
RePEc:eee:inecon:v:139:y:2022:i:c:s0022199622001052.
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Bank credit risk and macro-prudential policies: Role of counter-cyclical capital buffer. (2022). Sousa, Ricardo ; Mallick, Sushanta K ; Kumar, Abhishek ; Benbouzid, Nadia ; Stojanovic, Aleksandar.
In: Journal of Financial Stability.
RePEc:eee:finsta:v:63:y:2022:i:c:s157230892200105x.
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Sovereign risk spillovers: A network approach. (2022). Le, Anh ; Dickinson, David.
In: Journal of Financial Stability.
RePEc:eee:finsta:v:60:y:2022:i:c:s1572308922000341.
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Tail event-based sovereign credit risk transmission network during COVID-19 pandemic. (2022). Naifar, Nader ; Hussain, Syed Jawad.
In: Finance Research Letters.
RePEc:eee:finlet:v:45:y:2022:i:c:s1544612321002543.
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Modelling international sovereign risk information spillovers: A multilayer network approach. (2022). Huang, Wei-Qiang ; Liu, Peipei.
In: The North American Journal of Economics and Finance.
RePEc:eee:ecofin:v:63:y:2022:i:c:s1062940822001322.
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The COVID-19 pandemic, consumption and sovereign credit risk: Cross-country evidence. (2022). Xie, Fang ; Sun, Qinru ; Hao, Xiangchao.
In: Economic Modelling.
RePEc:eee:ecmode:v:109:y:2022:i:c:s0264999322000402.
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A global monetary policy factor in sovereign bond yields. (2022). Migiakis, Petros ; Malliaropulos, Dimitris.
In: Working Papers.
RePEc:bog:wpaper:301.
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Modelling CDS Volatility at Different Tenures: An Application for Latin-American Countries. (2022). Romero, JosÃ© ; Gamboa-Estrada, Fredy.
In: Borradores de Economia.
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Government debt expansion and stock returns. (2021). Jackson, Peter M ; Wisniewski, Tomasz Piotr.
In: International Journal of Finance & Economics.
RePEc:wly:ijfiec:v:26:y:2021:i:4:p:5017-5030.
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Debt Sustainability: Can EU Member States Use Environmental Taxes to Regain Fiscal Space?. (2021). Ibulc, Ioana-Laura.
In: Sustainability.
RePEc:gam:jsusta:v:13:y:2021:i:11:p:5952-:d:561750.
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Financial Spillover and Contagion Risks in the Euro Area in 2007-2019. (2021). Vogel, Lukas ; Vašíček, Bořek ; Vaiek, Boek ; Perticari, Francesco ; Monteiro, Daniel ; Lorenzani, Dimitri ; Garcia, Roman.
In: European Economy - Discussion Papers 2015 -.
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Confidence Swings and Sovereign Risk Dynamics. (2021). Tancioni, Massimiliano ; Patella, Valeria.
In: Structural Change and Economic Dynamics.
RePEc:eee:streco:v:56:y:2021:i:c:p:195-206.
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Feeling the heat: Climate risks and the cost of sovereign borrowing. (2021). Volz, Ulrich ; Beirne, John ; Renzhi, Nuobu.
In: International Review of Economics & Finance.
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What drives the commodity-sovereign risk dependence in emerging market economies?. (2021). Giessler, Stefan ; Eichler, Stefan ; Boehm, Hannes.
In: Journal of International Money and Finance.
RePEc:eee:jimfin:v:111:y:2021:i:c:s0261560620302643.
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The global financial crisis, the EMU sovereign debt crisis and international financial regulation: lessons from a systematic literature review. (2021). Kunze, Frederik ; Gonzalez, Miguel Rodriguez ; Meier, Samira.
In: International Review of Law and Economics.
RePEc:eee:irlaec:v:65:y:2021:i:c:s0144818820301587.
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Sovereign CDS and mutual funds: Global evidence. (2021). Vivian, Andrew ; Calice, Giovanni ; Alsubaiei, Bader J.
In: Journal of International Financial Markets, Institutions and Money.
RePEc:eee:intfin:v:73:y:2021:i:c:s1042443121000731.
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Measuring the systemic importance of banks. (2021). Sakellaris, Plutarchos ; Moratis, Georgios.
In: Journal of Financial Stability.
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COVID-induced sovereign risk in the euro area: When did the ECB stop the spread?. (2021). Tripier, Fabien ; Ortmans, Aymeric.
In: European Economic Review.
RePEc:eee:eecrev:v:137:y:2021:i:c:s0014292121001537.
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Quantifying sovereign risk in the euro area. (2021). Sosvilla-Rivero, Simon ; Gomez-Puig, Marta ; Singh, Manish K.
In: Economic Modelling.
RePEc:eee:ecmode:v:95:y:2021:i:c:p:76-96.
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Winners and losers of central bank foreign exchange interventions. (2021). Viziniuc, Mdlin.
In: Economic Modelling.
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Fiscal stance and the sovereign risk pass-through. (2021). Tancioni, Massimiliano ; Patella, Valeria ; Beqiraj, Elton.
In: Economic Modelling.
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Monetary Policy with a State-Dependent Inflation Target in a Behavioral Two-Country Monetary Union Model. (2021). Lojak, Benjamin ; Proao, Christian R.
In: Journal of Economic Dynamics and Control.
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EMU deepening and sovereign debt spreads: using political space to achieve policy space. (2021). PÃ©rez, Javier ; Kataryniuk, IvÃ¡n ; Perez, Javier J ; Mora-Bajen, Victor.
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Analysing the link between environmental performance and sovereign credit risk. (2020). Pavlova, Ivelina ; de Boyrie, Maria E.
In: Applied Economics.
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Feeling the Heat: Climate Risks and the Cost of Sovereign Borrowing. (2020). Beirne, John ; Volz, Ulrich ; Renzhi, Nuobu.
In: ADBI Working Papers.
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The South African â€“ United States Sovereign Bond Spread and its Association with Macroeconomic Fundamentals. (2020). Fedderke, Johannes W.
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Sovereign credit ratings and CDS spreads in Emerging Europe. (2020). Wojciechowski, Liwiusz ; Ilczuk, Daria ; Dopierala, Lukasz.
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The fiscal–monetary policy mix in the euro area: challenges at the zero lower bound. (2020). Orphanides, Athanasios.
In: Economic Policy.
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Pandemic Shocks and Fiscal-Monetary Policies in the Eurozone: COVID-19 Dominance During January - June 2020. (2020). Aizenman, Joshua ; Xin, Weining ; Nair-Desai, Sameer ; Ahmed, Rashad ; Jinjarak, Yothin.
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The Impact of the Introduction of Uniform European Collective Action Clauses on European Government Bonds as a Regulatory Result of the European Sovereign Debt Crisis. (2020). Samunderu, Eyden ; Layher, Nicoletta.
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What Explains the Sovereign Credit Default Swap Spreads Changes in the GCC Region?. (2020). Naifar, Nader.
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Seeking causality between liquidity risk and credit risk: TED-OIS spreads and CDS indexes. (2020). Gunay, Samet.
In: Research in International Business and Finance.
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Market price effects of agency sovereign debt announcements: Importance of prior credit states. (2020). Binici, Mahir ; Miao, Evan Weicheng ; Hutchison, Michael.
In: International Review of Economics & Finance.
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Sovereign risk and asset market dynamics in the euro area. (2020). Perego, Erica.
In: Journal of International Money and Finance.
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How connected is the global sovereign credit risk network?. (2020). Yilmaz, Kamil ; Bostanci, Gorkem.
In: Journal of Banking & Finance.
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Avoiding the fall into the loop: Isolating the transmission of bank-to-sovereign distress in the Euro Area. (2020). Eichler, Stefan ; Bohm, Hannes.
In: Journal of Financial Stability.
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Sovereign default risk, debt uncertainty and fiscal credibility: The case of Brazil. (2020). Souza, Ivan ; Montes, Gabriel Caldas.
In: The North American Journal of Economics and Finance.
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The Tobit cointegrated vector autoregressive model: An application to the currency market. (2020). Welfe, Aleksander ; Grabowski, Wojciech.
In: Economic Modelling.
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Evaluating sovereign risk spillovers on domestic banks during the European debt crisis. (2020). Keddad, Benjamin ; Schalck, Christophe.
In: Economic Modelling.
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COVID-Induced Sovereign Risk in the Euro Area: When Did the ECB Stop the Contagion?. (2020). Tripier, Fabien ; Ortmans, Aymeric.
In: Working Papers.
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The determinants of sovereign risk premiums in the UK and the European government bond market: The impact of Brexit. (2020). Kadiric, Samir.
In: EIIW Discussion paper.
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Interest rate volatility and macroeconomic dynamics: Heterogeneity matters. (2020). Velic, Adnan ; Curran, Michael.
In: Review of International Economics.
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Fiscal space and the size of the fiscal multiplier. (2020). Metelli, Luca ; Pallara, Kevin.
In: Temi di discussione (Economic working papers).
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Avoiding the Fall into the Loop: Isolating the Transmission of Bank-to-Sovereign Distress in the Euro Area and its Drivers. (2019). Eichler, Stefan ; Bohm, Hannes.
In: Annual Conference 2019 (Leipzig): 30 Years after the Fall of the Berlin Wall - Democracy and Market Economy.
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Denouncing Odious Debts. (2019). OOSTERLINCK, Kim ; Collet, Stephanie.
In: ULB Institutional Repository.
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Liquidity and tail-risk interdependencies in the euro area sovereign bond market. (2019). Filiani, Pasquale ; Dunne, Peter G ; Clancy, Daragh.
In: Working Papers.
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Risk, Asset Pricing and Monetary Policy Transmission in Europe: Evidence from a Threshold-VAR approach. (2019). Schmidt, Joerg.
In: MAGKS Papers on Economics.
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The single supervision mechanism and contagion between bank and sovereign risk. (2019). Azofra, Sergio Sanfilippo ; Sanfilippoazofra, Sergio ; Canterosaiz, Maria ; Olmo, Begoa Torre ; Torreolmo, Begoa .
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Denouncing Odious Debts. (2019). OOSTERLINCK, Kim ; Collet, Stephanie.
In: Journal of Business Ethics.
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Correlation and coordination risk. (2019). Hule, Richard ; Geiger, Martin.
In: Annals of Finance.
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Remittances and bond yield spreads in emerging market economies. (2019). Combes, Jean-Louis ; BALIMA, HIPPOLYTE.
In: Post-Print.
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Nonlinearities in the oil effects on the sovereign credit risk: A self-exciting threshold autoregression approach. (2019). de Peretti, Christian ; Hmaied, Dorra ; Sabkha, Saker.
In: Research in International Business and Finance.
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Comovement and disintegration of EU sovereign bond markets during the crisis. (2019). Vacha, Lukas ; Baxa, Jaromir ; Molik, Filip.
In: International Review of Economics & Finance.
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European policy and markets: Did policy initiatives stem the sovereign debt crisis in the euro area?. (2019). Hougaard, Svend E ; Hutchison, Michael M ; Bergman, Michael U.
In: European Journal of Political Economy.
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Fiscal space and government-spending and tax-rate cyclicality patterns: A cross-country comparison, 1960â€“2016. (2019). Jinjarak, Yothin ; Aizenman, Joshua ; Park, Donghyun ; Kim, Hien Thi.
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Quantitative easing and sovereign yield spreads: Euro-area time-varying evidence. (2019). Jalles, Joao ; Afonso, Antonio.
In: Journal of International Financial Markets, Institutions and Money.
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Redenomination-risk spillovers in the Eurozone. (2019). Borri, Nicola.
In: Economics Letters.
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Has the Grexit news affected euro area financial markets?. (2019). Gregori, Wildmer Daniel ; Sacchi, Agnese.
In: The North American Journal of Economics and Finance.
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Euro area sovereign risk spillovers before and after the ECBs OMT announcement. (2019). Gilbert, Niels.
In: DNB Working Papers.
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Public Debt Sustainability. (2019). Willems, Tim ; Ostry, Jonathan ; Debrun, Xavier ; Wyplosz, Charles.
In: CEPR Discussion Papers.
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Liquidity and tail-risk interdependencies in the euro area sovereign bond market. (2019). Clancy, Daragh ; Filiani, Pasquale ; Dunne, Peter G.
In: Research Technical Papers.
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Measuring Sovereign Risk: Are CDS Spreads Better than Sovereign Credit Ratings?. (2019). Lawrence, Edward R ; Dandapani, Krishnan ; Rodriguez, Ivan M.
In: Financial Management.
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Avoiding the fall into the loop: Isolating the transmission of bank-to-sovereign distress in the euro area and its drivers. (2018). Eichler, Stefan ; Bohm, Hannes.
In: IWH Discussion Papers.
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Fiscal space and government-spending & tax-rate cyclicality patterns: A cross-country comparison, 1960-2016. (2018). Park, Donghyun ; Kim, Hien Thi ; Jinjarak, Yothin ; Aizenman, Joshua.
In: Working Paper Series.
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The Role of Liquidity in Financial Intermediation. (2018). Khan, Muhammad Saifuddin .
In: PhD Thesis.
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Sovereign default, exit and contagion in a monetary union. (2018). Uras, Burak ; Kobielarz, Michal ; Eijffinger, Sylvester.
In: Other publications TiSEM.
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The economics of monetary unions. (2018). Kobielarz, Michal.
In: Other publications TiSEM.
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Is There a Non-linear Relationship of Market Value with Cash and Ownership?. (2018). Stamatopoulos, Theodoros ; Terzakis, Dimitris ; Arvanitis, Stavros E.
In: SPOUDAI Journal of Economics and Business.
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Economic Policy Uncertainty and the Volatility of Sovereign CDS Spreads. (2018). Raunig, Burkhard.
In: Working Papers.
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Presentation and Testing of the Creeping Trend with Harmonic Weights Method in the Light of Sovereign CDS Prices. (2018). Geczi-Papp, Renata .
In: Theory Methodology Practice (TMP).
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â€œIncorporating creditors seniority into contingent claim models:Application to peripheral euro area countriesâ€. (2018). Sosvilla-Rivero, Simon ; GÃƒÂ³mez-Puig, Marta ; Singh, Manish K ; Gomez-Puig, Marta.
In: IREA Working Papers.
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Measuring Financial Fragmentation in the Euro Area Corporate Bond Market. (2018). Mojon, Benoit ; Manganelli, Simone ; Horny, Guillaume.
In: JRFM.
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Sovereign Adaptive Risk Modeling and Implications for the Eurozone GREXIT Case. (2018). Tarrant, Wayne ; Escalera, Morgan.
In: IJFS.
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Exports and bank shocks: evidence from matched firm-bank data. (2018). Spatareanu, Mariana ; Kabiri, Ali ; Manole, Vlad.
In: LSE Research Online Documents on Economics.
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Exports and bank shocks: Evidence from matched firm-bank data. (2018). Spatareanu, Mariana ; Kabiri, Ali ; Manole, Vlad.
In: Structural Change and Economic Dynamics.
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The housing market and the credit default swap premium in the UK banking sector: A VAR approach. (2018). Benbouzid, Nadia ; Pilbeam, Keith ; Mallick, Sushanta.
In: Research in International Business and Finance.
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â€œWhatever it takesâ€ to resolve the European sovereign debt crisis? Bond pricing regime switches and monetary policy effects. (2018). Kontonikas, Alexandros ; Arghyrou, Michael ; Afonso, Antonio ; Gadea, Maria Dolores.
In: Journal of International Money and Finance.
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Do credit rating agencies provide valuable information in market evaluation of sovereign default Risk?. (2018). Binici, Mahir ; Hutchison, Michael .
In: Journal of International Money and Finance.
RePEc:eee:jimfin:v:85:y:2018:i:c:p:58-75.
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Dealing with dealers: Sovereign CDS comovements. (2018). Rodriguez-Moreno, Maria ; Mayordomo, Sergio ; Rodriguezmoreno, Maria ; Anton, Miguel.
In: Journal of Banking & Finance.
RePEc:eee:jbfina:v:90:y:2018:i:c:p:96-112.
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Sovereign default, exit and contagion in a monetary union. (2018). Kobielarz, Michal ; Eijffinger, Sylvester ; Uras, Burak R.
In: Journal of International Economics.
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Spatial analysis of sovereign risks: The case of emerging markets. (2018). Kila, Gul Huyuguzel ; Onder, Ozlem A.
In: Finance Research Letters.
RePEc:eee:finlet:v:26:y:2018:i:c:p:47-55.
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Business failure, efficiency, and volatility: Evidence from the European insurance industry. (2018). Eling, Martin ; Jia, Ruo.
In: International Review of Financial Analysis.
RePEc:eee:finana:v:59:y:2018:i:c:p:58-76.
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The re-pricing of sovereign risks following the Global Financial Crisis. (2018). Migiakis, Petros ; Malliaropulos, Dimitris.
In: Journal of Empirical Finance.
RePEc:eee:empfin:v:49:y:2018:i:c:p:39-56.
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Accounting for sovereign tail risk in emerging economies: The role of global and domestic risk factors. (2018). Wing, Tom Pak ; Fu, John ; Li, Ka-Fai .
In: Emerging Markets Review.
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Assessing sovereign default risk: A bottom-up approach. (2018). Trueck, Stefan ; Truck, Stefan ; Kalotay, Egon ; Liu, Feng.
In: Economic Modelling.
RePEc:eee:ecmode:v:70:y:2018:i:c:p:525-542.
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The Term Structure of Redenomination Risk. (2018). Kriwoluzky, Alexander ; Kim, Chi Hyun ; Bayer, Christian.
In: Discussion Papers of DIW Berlin.
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The term structure of redenomination risk. (2018). Kriwoluzky, Alexander ; Kim, Chi Hyun ; Bayer, Christian.
In: CEPR Discussion Papers.
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Quantitative easing and sovereign bond yields: a global perspective. (2018). Migiakis, Petros ; Malliaropulos, Dimitrios.
In: Working Papers.
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Are credit rating agencies discredited? Measuring market price effects from agency sovereign debt announcements. (2018). Miao, Evan Weicheng ; Binici, Mahir ; Hutchison, Michael M.
In: BIS Working Papers.
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Ambiguity and Time-Varying Risk Aversion in Sovereign Debt Markets. (2017). Podstawski, Maximilian ; Grosse Steffen, Christoph.
In: Annual Conference 2017 (Vienna): Alternative Structures for Money and Banking.
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Eurozone exit risk. (2017). , Ingmarrovekamp ; Rovekamp, Ingmar ; Eichler, Stefan.
In: CEPIE Working Papers.
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Time varying and asymmetric effect between sovereign credit market and financial market: The asymmetric DCC model. (2017). Zardoub, Amna ; el Abed, Riadh.
In: Economics Discussion Papers.
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The risk of the sovereign debt default: the Eurozone crisis 2008–2013. (2017). Stamatopoulos, Theodoros ; Terzakis, Dimitris M ; Arvanitis, Stavros E.
In: Applied Economics.
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Bank-sovereign ties against interbank market integration: the case of the Italian segment. (2017). Popoyan, Lilit ; Saroyan, Susanna .
In: LEM Papers Series.
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Assessing systemic risk and its determinants for advanced and major emerging economies: the case of ?CoVaR. (2017). Stolbov, Mikhail.
In: International Economics and Economic Policy.
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Has the Grexit news affected euro area financial markets?. (2017). Sacchi, Agnese ; Gregori, Wildmer Daniel.
In: Working Papers.
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Quantitative Easing and Sovereign Yield Spreads: Euro-Area Time-Varying Evidence. (2017). Jalles, Joao ; Afonso, Antonio.
In: Working Papers REM.
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Sovereign yield spreads in the EMU: crisis and structural determinants. (2017). Leal, Frederico ; Afonso, Antonio.
In: Working Papers Department of Economics.
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The Determinants of Country Risk Premium Volatility: Evidence from a Panel VAR Model. (2017). Vizek, MaruÅ¡ka ; Simovic, Petra Posedel ; Palic, Petra .
In: Croatian Economic Survey.
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Fiscal Sustainability: A Cross-Country Analysis. (2017). Bi, Huixin.
In: Economic Review.
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The Fiscal-Monetary Policy Mix in the Euro Area: Challenges at the Zero Lower Bound. (2017). Orphanides, Athanasios.
In: European Economy - Discussion Papers 2015 -.
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Cash and Ownership on Firms Market Value: Evidence from Greek Panel Data. (2017). Arvanitis, Stavros E ; Chatzimarkaki, Maria ; Stamatopoulos, Theodoros V.
In: European Research Studies Journal.
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Cash and Ownership on Firms Market Value: Evidence from Greek Panel Data. (2017). Stamatopoulos, Theodoros ; Chatzimarkaki, Maria ; Arvanitis, Stavros E.
In: International Journal of Economics & Business Administration (IJEBA).
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REGIME SWITCHING DETERMINANTS OF SOVEREIGN CDS SPREADS: EVIDENCE FROM TURKEY. (2017). Polat, Umurcan.
In: Eurasian Journal of Economics and Finance.
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Fundamentals versus market sentiments in the euro bond markets: implications for QE. (2017). Macchiarelli, Corrado ; Ji, Yuemei ; de Grauwe, Paul ; DeGrauwe, Paul.
In: LSE Research Online Documents on Economics.
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Sovereign and bank Interdependenciesâ€”Evidence from the CDS market. (2017). Yu, Sherry.
In: Research in International Business and Finance.
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Quantitative easing and the pricing of EMU sovereign debt. (2017). Wagner, Niklas ; Kinateder, Harald.
In: The Quarterly Review of Economics and Finance.
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Sovereign default risk linkage: Implication for portfolio diversification. (2017). Hoque, Ariful ; Hassan, Kamrul ; Gasbarro, Dominic .
In: Pacific-Basin Finance Journal.
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Determinants of sub-sovereign bond yield spreads â€“ The role of fiscal fundamentals and federal bailout expectations. (2017). Hantzsche, Arno ; FERRUCCI, Gianluigi ; RAU-GoHRING, Matthias ; Beck, Roland.
In: Journal of International Money and Finance.
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Sovereign tail risk. (2017). Moreno, Antonio ; Lopez-Espinosa, German ; Valderrama, Laura ; Rubia, Antonio.
In: Journal of International Money and Finance.
RePEc:eee:jimfin:v:79:y:2017:i:c:p:174-188.
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Risk assessment on euro area government bond markets â€“ The role of governance. (2017). Boysen-Hogrefe, Jens.
In: Journal of International Money and Finance.
RePEc:eee:jimfin:v:73:y:2017:i:pa:p:104-117.
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Sovereign debt risk in emerging market economies: Does inflation targeting adoption make any difference?. (2017). Minea, Alexandru ; Combes, Jean-Louis ; BALIMA, HIPPOLYTE.
In: Journal of International Money and Finance.
RePEc:eee:jimfin:v:70:y:2017:i:c:p:360-377.
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Sovereign bond market reactions to no-bailout clauses and fiscal rules â€“ The Swiss experience. (2017). Osterloh, Steffen ; Feld, Lars ; Moessinger, Marc-Daniel ; Kalb, Alexander .
In: Journal of International Money and Finance.
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An international forensic perspective of the determinants of bank CDS spreads. (2017). Sousa, Ricardo ; Mallick, Sushanta ; Benbouzid, Nadia.
In: Journal of Financial Stability.
RePEc:eee:finsta:v:33:y:2017:i:c:p:60-70.
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Sovereign debt spreads in EMU: The time-varying role of fundamentals and market distrust. (2017). Tamarit, Cecilio ; Paniagua, Jordi ; Sapena, Juan.
In: Journal of Financial Stability.
RePEc:eee:finsta:v:33:y:2017:i:c:p:187-206.
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Time varying contagion in EMU government bond spreads. (2017). Leschinski, Christian ; Bertram, Philip .
In: Journal of Financial Stability.
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Sovereign bond markets and financial volatility dynamics: Panel-GARCH evidence for six euro area countries. (2017). CermeÃƒÂ±o, Rodolfo ; Curto, Jose Dias ; Cermeo, Rodolfo ; Ribeiro, Pedro Pires .
In: Finance Research Letters.
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The kidnapping of Europe: High-order moments transmission between developed and emerging markets. (2017). Perote, Javier ; Mora-Valencia, AndrÃƒÂ©s ; del Brio, Esther B.
In: Emerging Markets Review.
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The sensitivity of credit default swap premium to global risk factor: Evidence from emerging markets. (2017). Cepni, Oguzhan ; Yilmaz, Hasan M ; Kucuksarac, Doruk.
In: Economics Letters.
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Sovereign default risk in OECD countries: Do global factors matter?. (2017). OrdoÃƒÂ±ez-Callamand, Daniel ; Melo-Velandia, Luis ; Gomez-Gonzalez, Jose ; Ordoez-Callamand, Daniel.
In: The North American Journal of Economics and Finance.
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Interactions between fiscal multipliers and sovereign risk premium during fiscal consolidation: model based assessment for the euro area. (2017). Lalik, Magdalena.
In: Working Paper Series.
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The Fiscal-Monetary Policy Mix in the Euro Area: Challenges at the Zero Lower Bound. (2017). Orphanides, Athanasios.
In: CEPR Discussion Papers.
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Measuring the systemic importance of banks. (2017). Sakellaris, Plutarchos ; Moratis, George.
In: Working Papers.
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How Do Political Factors Shape the Bank Riskâ€“Sovereign Risk Nexus in Emerging Markets?. (2017). Eichler, Stefan.
In: Review of Development Economics.
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Fragmentation and heterogeneity in the euro-area corporate bond market: Back to normal?. (2016). Zaghini, Andrea.
In: CFS Working Paper Series.
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Oil prices and sovereign credit risk of oil producing countries: an empirical investigation. (2016). von Mettenheim, Hans-JÃƒÂ¶rg ; Wegener, Christoph ; Kunze, Frederik ; Basse, Tobias.
In: Quantitative Finance.
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Regime-dependent sovereign risk pricing during the euro crisis. (2016). Portes, Richard ; Delatte, Anne-Laure ; Fouquau, Julien.
In: ESRB Working Paper Series.
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Regime-dependent sovereign risk pricing during the euro crisis. (2016). Portes, Richard ; Fouquau, Julien ; Delatte, Anne-Laure.
In: ESRB Working Paper Series.
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Interest rate spreads in the eurozone: Fundamentals or sentiments?. (2016). Kleinert, Joern ; Goedl, Maximilian ; Godl, Maximilian .
In: Review of World Economics (Weltwirtschaftliches Archiv).
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Lifetime-Laffer Curves and the Eurozone Crisis. (2016). Stangebye, Zachary.
In: 2016 Meeting Papers.
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Optimal Currency Area: A 20th Century Idea For the 21st Century?. (2016). Aizenman, Joshua.
In: NBER Working Papers.
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Measuring Sovereign Risk Spillovers and Assessing the Role of Transmission Channels: A Spatial Econometrics Approach. (2016). Debarsy, Nicolas ; Dossougoin, Cyrille ; Gnabo, Jean-Yves ; Ertur, Cem.
In: LEO Working Papers / DR LEO.
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Correlation and coordination risk. (2016). Geiger, Martin ; Hule, Richard .
In: Working Papers.
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How do Experts Forecast Sovereign Spreads?. (2016). Claeys, Peter ; Cimadomo, Jacopo ; Ribeiro, Marcos Poplawski.
In: IMF Working Papers.
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The Transmission of Federal Reserve Tapering News to Emerging Financial Markets. (2016). Binici, Mahir ; Aizenman, Joshua ; Hutchison, Michael M.
In: International Journal of Central Banking.
RePEc:ijc:ijcjou:y:2016:q:2:a:7.
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Multilateral loans and interest rates: further evidence on the seniority conundrum. (2016). Westermann, Frank.
In: Working Papers.
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Multilateral loans and interest rates: further evidence on the seniority conundrum. (2016). Westermann, Frank ; Steinkamp, Sven.
In: IEER Working Papers.
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Cointegration between Equity- and Agricultural Markets: Implications for Portfolio Diversification. (2016). Donner, Nils ; da Costa, Marcio Genovevo.
In: Journal of Management and Sustainability.
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Macroeconomic imbalances, financial stress and fiscal vulnerability in the euro area before the debt crises: A market view. (2016). Gente, Karine ; DufrÃ©not, Gilles ; Monsia, Fredia .
In: Post-Print.
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Sovereign debt spread and default in a model with self-fulfilling prophecies and asymmetric information. (2016). Timbeau, Xavier ; DucoudrÃƒÂ©, Bruno ; Blot, Christophe ; Ducoudre, Bruno .
In: Journal of Macroeconomics.
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The anatomy of sovereign risk contagion. (2016). Wu, Eliza ; Remolona, Eli ; Erdem, Magdalena ; Kalotychou, Elena .
In: Journal of International Money and Finance.
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Macroeconomic imbalances, financial stress and fiscal vulnerability in the euro area before the debt crises: A market view. (2016). DufrÃƒÂ©not, Gilles ; Monsia, Fredia ; Gente, Karine ; Dufrenot, Gilles.
In: Journal of International Money and Finance.
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The quest for banking stability in the euro area: The role of government interventions. (2016). Paltalidis, Nikos ; Vergos, Konstantinos ; Kizys, Renatas.
In: Journal of International Financial Markets, Institutions and Money.
RePEc:eee:intfin:v:40:y:2016:i:c:p:111-133.
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How the euro-area sovereign-debt crisis led to a collapse in bank equity prices. (2016). Tavlas, George ; Hall, Stephen ; Gibson, Heather.
In: Journal of Financial Stability.
RePEc:eee:finsta:v:26:y:2016:i:c:p:266-275.
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Fragmentation and heterogeneity in the euro-area corporate bond market: Back to normal?. (2016). Zaghini, Andrea.
In: Journal of Financial Stability.
RePEc:eee:finsta:v:23:y:2016:i:c:p:51-61.
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Regime-dependent determinants of Euro area sovereign CDS spreads. (2016). Qian, Zongxin ; Eijffinger, Sylvester ; Blommestein, Hans.
In: Journal of Financial Stability.
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How do experts forecast sovereign spreads?. (2016). Poplawski-Ribeiro, Marcos ; Claeys, Peter ; Cimadomo, Jacopo.
In: European Economic Review.
RePEc:eee:eecrev:v:87:y:2016:i:c:p:216-235.
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Determinants of sub-sovereign bond yield spreads: the role of fiscal fundamentals and federal bailout expectations. (2016). Hantzsche, Arno ; Beck, Roland ; Ferrucci, Gianluigi ; Rau-Goehring, Matthias .
In: Working Paper Series.
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Bond risk premia, macroeconomic factors and financial crisis in the euro area. (2016). Garcia, Juan Angel ; Sebastian, .
In: Working Paper Series.
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Examination of the Relationship between Turkeyâ€™s Credit Default Swap (CDS) Points and Unemployment. (2016). Ahn, Cumhur ; Altay, Huseyin .
In: Eurasian Business & Economics Journal.
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Ambiguity and Time-Varying Risk Aversion in Sovereign Debt Markets. (2016). Podstawski, Maximilian ; GroÃƒÂŸe Steffen, Christoph.
In: Discussion Papers of DIW Berlin.
RePEc:diw:diwwpp:dp1602.
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Pricing the Odious in Odious Debts. (2016). OOSTERLINCK, Kim ; Collet, Stephanie.
In: CEPR Discussion Papers.
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Measuring sovereign risk spillovers and assessing the role of transmission channels: a spatial econometrics approach. (2016). Gnabo, Jean-Yves ; Dossougoin, Cyrille ; Debarsy, Nicolas ; Ertur, Cem.
In: CORE Discussion Papers.
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Multilateral Loans and Interest Rates: Further Evidence on the Seniority Conundrum. (2016). Westermann, Frank ; Steinkamp, Sven.
In: CESifo Working Paper Series.
RePEc:ces:ceswps:_6225.
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The re-pricing of sovereign risks following the global financial crisis. (2016). Migiakis, Petros ; Malliaropulos, Dimitrios.
In: Working Papers.
RePEc:bog:wpaper:2010.
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Fundamentals and Sovereign Risk of Emerging Markets. (2016). PARK, DONGHYUN ; Jinjarak, Yothin ; Aizenman, Joshua.
In: Pacific Economic Review.
RePEc:bla:pacecr:v:21:y:2016:i:2:p:151-177.
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Sovereign Credit Risk Co-Movements in the Eurozone: Simple Interdependence or Contagion?. (2016). Tonzer, Lena ; Buchholz, Manuel.
In: International Finance.
RePEc:bla:intfin:v:19:y:2016:i:3:p:246-268.
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Measuring Financial Fragmentation in the Euro Area Corporate Bond Market.. (2016). Mojon, Benoit ; Manganelli, Simone ; Horny, Guillaume.
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