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Author : Ray Yeu-tien Chou
Publisher :
ISBN 13 :
Total Pages : pages
Book Rating : 4.:/5 (896 download)
Download or read book European Sovereign Debt Crisis and Its Contagion: Evidence from the CDS Market written by Ray Yeu-tien Chou and published by . This book was released on 2013 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Go Tamakoshi
Publisher : Routledge
ISBN 13 : 1317629671
Total Pages : 154 pages
Book Rating : 4.3/5 (176 download)
Download or read book The European Sovereign Debt Crisis and Its Impacts on Financial Markets written by Go Tamakoshi and published by Routledge. This book was released on 2015-02-11 with total page 154 pages. Available in PDF, EPUB and Kindle. Book excerpt: The global financial crisis saw many Eurozone countries bearing excessive public debt. This led the government bond yields of some peripheral countries to rise sharply, resulting in the outbreak of the European sovereign debt crisis. The debt crisis is characterized by its immediate spread from Greece, the country of origin, to its neighbouring countries and the connection between the Eurozone banking sector and the public sector debt. Addressing these interesting features, this book sheds light on the impacts of the crisis on various financial markets in Europe. This book is among the first to conduct a thorough empirical analysis of the European sovereign debt crisis. It analyses, using advanced econometric methodologies, why the crisis escalated so prominently, having significant impacts on a wide range of financial markets, and was not just limited to government bond markets. The book also allows one to understand the consequences and the overall impact of such a debt crisis, enabling investors and policymakers to formulate diversification strategies, and create suitable regulatory frameworks.
Author : Kristyna Ters
Publisher :
ISBN 13 :
Total Pages : 38 pages
Book Rating : 4.:/5 (13 download)
Download or read book The Transmission of Euro Area Sovereign Risk Contagion written by Kristyna Ters and published by . This book was released on 2016 with total page 38 pages. Available in PDF, EPUB and Kindle. Book excerpt: 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 that, prior to the crisis, the CDS and bond markets were similarly important in the transmission of sovereign risk contagion, but that the importance of the bond market waned during the crisis. We find flight-to-safety effects during the crisis period in the German bond market. By using an exogenous macroeconomic news shock, we can show that, during the crisis period, sovereign credit risk was not related to economic fundamentals but rather driven by the announcements of the economic adjustment programmes (EAP) as the magnitude of risk contagion spreading from the country under the EAP did strongly decrease following these announcements. Only after the enlargement of the European Financial Stability Facility in July 2011, we find a strong decrease of interlinkages and a stabilising effect on the joint credit risk contagion across all GIIPS countries.
Author : Paolo Manasse
Publisher :
ISBN 13 :
Total Pages : 42 pages
Book Rating : 4.:/5 (131 download)
Download or read book Sovereign Contagion in Europe written by Paolo Manasse and published by . This book was released on 2013 with total page 42 pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper addresses the following questions. Is there evidence of financial contagion in the Eurozone? To what extent a country's vulnerability to contagion depends on "fundamentals" as opposed the government's "credibility"? We look at the empirical evidence on European sovereigns CDS spreads and estimate an econometric model where a crucial role is played by time varying parameters. We model CDS spread changes at country level as reflecting three different factors: a Global sovereign risk factor, a European sovereign risk factor and a Financial intermediaries risk factor. Our main findings are as follows. First, Unlike the US subprime crisis which affected all European sovereign risks, the Greek crisis is largely a 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 peripheric countries become more vulnerable. Finally, market fundamentals go a long way in explaining these differences: they jointly explain between 54 and 80% of the cross-country variation in idiosyncratic risks and in the vulnerability to contagion, largely supporting the "wake-up call" hypothesis according to which market participants become more wary of market fundamentals during financial crises.
Author : John Beirne
Publisher :
ISBN 13 :
Total Pages : 0 pages
Book Rating : 4.:/5 (139 download)
Download or read book The Pricing of Sovereign Risk and Contagion During the European Sovereign Debt Crisis written by John Beirne and published by . This book was released on 2012 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt: The paper analyses the drivers of sovereign risk for 31 advanced and emerging economies during the European sovereign debt crisis. It shows that a deterioration in countries' fundamentals and fundamentals contagion - a sharp rise in the sensitivity of financial markets to fundamentals - are the main explanations for the rise in sovereign yield spreads and CDS spreads during the crisis, not only for euro area countries but globally. By contrast, regional spillovers and contagion have been less important, including for euro area countries. The paper also finds evidence for herding contagion - sharp, simultaneous increases in sovereign yields across countries - but this contagion has been concentrated in time and among a few markets. Finally, empirical models with economic fundamentals generally do a poor job in explaining sovereign risk in the pre-crisis period for European economies, suggesting that the market pricing of sovereign risk may not have been fully reflecting fundamentals prior to the crisis.
Author : Tony Phillips
Publisher : Zed Books Ltd.
ISBN 13 : 1783602163
Total Pages : 280 pages
Book Rating : 4.7/5 (836 download)
Download or read book Europe on the Brink written by Tony Phillips and published by Zed Books Ltd.. This book was released on 2014-07-10 with total page 280 pages. Available in PDF, EPUB and Kindle. Book excerpt: Europe is suffering from a bipolar economic disorder. Financial journalists divide the continent into two groups of nations - centre and periphery - not by geography but by credit rating. Europe on the Brink is a critical investigation of the root causes of this sovereign debt crisis, and the often misguided policy choices made to resolve it. Nobel Laureate Joseph Stiglitz, together with two other finance experts, compares debt contagion in Europe with regional financial crises elsewhere, while Roberto Lavagna, former economics minister in Argentina, provides a poignant comparative analysis with his own country’s experience. Crucially and uniquely, Portuguese, Greek and Irish economists provide hard-hitting case studies from the perspective of the periphery. This much-needed book offers a heterodox economic perspective on the causes, symptoms and solutions of the biggest economic issue currently facing Europe.
Author : Brent Glover
Publisher :
ISBN 13 :
Total Pages : 47 pages
Book Rating : 4.:/5 (893 download)
Download or read book Contagion in the European Sovereign Debt Crisis written by Brent Glover and published by . This book was released on 2014 with total page 47 pages. Available in PDF, EPUB and Kindle. Book excerpt: We use a network model of credit risk to measure market expectations of the potential spillovers from a sovereign default. Specifically, we develop an empirical model, based on the recent theoretical literature on contagion in financial networks, and estimate it with data on sovereign credit default swap spreads and the detailed structure of financial linkages among thirteen European sovereigns from 2005 to 2011. Simulations from the estimated model show that a sovereign default generates only small spillovers to other sovereigns. These results imply that credit markets do not demand a significant premium for the interconnectedness of sovereign debt in Europe.
Author : Phoebus L. Athanassiou
Publisher : Routledge
ISBN 13 : 1000423093
Total Pages : 165 pages
Book Rating : 4.0/5 (4 download)
Download or read book The European Sovereign Debt Crisis written by Phoebus L. Athanassiou and published by Routledge. This book was released on 2021-08-23 with total page 165 pages. Available in PDF, EPUB and Kindle. Book excerpt: The European Sovereign Debt Crisis: Breaking the Vicious Circle between Sovereigns and Banks explains why the euro area’s progress towards reining in the risks arising from the well-documented bi-directional financial contagion transmission mechanism that links sovereigns to commercial banks has been more prominent compared to the channel of contagion moving from banks to sovereigns. Providing an analysis of the legal and regulatory measures that Europe and the euro area have taken to mitigate the exposure of sovereigns to financial crises generated by commercial banks, this book draws attention to areas where improvements to the arsenal of tools hitherto introduced are either desirable or necessary. Chapters further explain – with recourse to economic and legal arguments – why the channel of contagion moving from sovereigns to commercial banks has proven harder to close, and explores ways in which progress could be made in the direction of closing it so as to avert the risk of future banking sector crises. This work provides essential reading for students, researchers and practitioners with an interest in sovereign debt crises and the euro-area banking system.
Author : Nico Asperti
Publisher :
ISBN 13 :
Total Pages : 13 pages
Book Rating : 4.:/5 (129 download)
Download or read book Have Contagion Effects Occurred in the Eurozone During the Sovereign Debt Crisis? written by Nico Asperti and published by . This book was released on 2020 with total page 13 pages. Available in PDF, EPUB and Kindle. Book excerpt: The aim of this paper is to detect the existence of financial contagion effects in the Eurozone countries during the sovereign debt crisis.To achieve this purpose, the authors will analyse the contagion effects through the event study methodology and simple regression model, investigating how relevant European press releases (since now called news) affected the performance of Credit Default Swap (CDS), which is a widely used type of credit derivative able to protect an investor from the counter-party's inability to repay its debt.In the study the authors will consider the CDS of three European countries, such as Greece, Germany and United Kingdom, which have different economic and monetary conditions between each other.In conclusion, the outputs of the study will highlight that a financial contagion exists among the selected news and the Eurozone countries, Greece and Germany; whereas there is no considerable evidence of contagion on United Kingdom's CDS.
Author : Ms.Brenda Gonzalez-Hermosillo
Publisher : International Monetary Fund
ISBN 13 : 1484368347
Total Pages : 28 pages
Book Rating : 4.4/5 (843 download)
Download or read book Transmission of Financial Stress in Europe written by Ms.Brenda Gonzalez-Hermosillo and published by International Monetary Fund. This book was released on 2014-05-02 with total page 28 pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper proposes a stochastic volatility model to measure sovereign financial distress. It examines how key European sovereign credit default swap (CDS) spreads affect each other; specifically, the paper analyses the volatility structure of Germany, Greece, Ireland, Italy, Spain and Portugal. The stability of Germany is a close proxy for the resilience of the euro area as markets use Germany’s sovereign CDS as a hedge for systemic risk. Although most of the CDS changes for Germany during 2009–12 were due to idiosyncratic factors, market developments in Italy and Spain contributed significantly, likely due to their relative importance in the region. Changes in Greece’s sovereign CDS had no significant effect on Germany’s sovereign CDS despite initial widespread concerns about such linkages. Spain and Italy show a notable co-dependence in explaining each other’s volatility while Germany also plays an important role. It is found that extreme bad news led to persistent and nearly permanent effects on the stochastic volatility of European sovereign CDS spreads.
Author : Shaen Corbet
Publisher :
ISBN 13 :
Total Pages : 10 pages
Book Rating : 4.:/5 (13 download)
Download or read book The Contagion Effects of Sovereign Downgrades written by Shaen Corbet and published by . This book was released on 2014 with total page 10 pages. Available in PDF, EPUB and Kindle. Book excerpt: This research examines the effects of sovereign downgrades on European financial markets between 2005 and 2012. Vector Autoregression (VAR) techniques are used to investigate the presence of contagion effects after a sovereign downgrade across equity indices, five year Credit Default Swaps (CDS) and ten year government bonds of the investigated European states. Sovereign downgrades are found to be associated with an increase in equity returns, and cause significant increases in the cost of insuring debt through CDS and the yield of government debt. The Greek and Irish downgrades are to found to have significant reverberations throughout European financial markets. German CDS spreads are found to increase when a European state is downgraded, signalling their use by investors as a barometer of European-wide defaults. Though credit rating agencies clearly missed the European sovereign crisis prior to 2007, their rating downgrades are still found to cause significant effects within European financial markets.
Author : Carmen Broto
Publisher :
ISBN 13 :
Total Pages : pages
Book Rating : 4.:/5 (891 download)
Download or read book Disentangling Contagion Among Sovereign CDS Spreads During the European Debt Crisis written by Carmen Broto and published by . This book was released on 2013 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Theodore D. Bratis
Publisher :
ISBN 13 :
Total Pages : pages
Book Rating : 4.:/5 (13 download)
Download or read book Systemic Risk and Financial Market Contagion written by Theodore D. Bratis and published by . This book was released on 2015 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: The global financial and the European debt crises categorized as Minsky's moments present the physical laboratory for studying contagion cross country and cross market. Our research based on the twin sovereign-banking crisis evolution of the euro debt crisis era, focuses on addressing the co-movement of credit risk measured by Credit Default Swap (CDS) spreads in both banking and sovereign sectors within EMU in conjunction with the UK/US. We evaluate and compare contagion/interdependence cross-country and cross-market. Our results err on the side of interdependence within EMU as expected; contagion has been found for limited cases.
Author :
Publisher :
ISBN 13 :
Total Pages : 45 pages
Book Rating : 4.:/5 (13 download)
Download or read book The EMU Sovereign-debt Crisis written by and published by . This book was released on 2010 with total page 45 pages. Available in PDF, EPUB and Kindle. Book excerpt: We offer a detailed empirical investigation of the European sovereign debt crisis. We find evidence of a marked shift in market pricing behaviour from a 'convergence-trade' model before August 2007 to one driven by macro-fundamentals and international risk thereafter. The majority of EMU countries have experienced contagion from Greece. There is no evidence of significant speculation effects originating from CDS markets. Finally, the escalation of the Greek debt crisis since November 2009 is confirmed as the result of an unfavourable shift in country-specific market expectations. Our findings highlight the necessity of structural, competitiveness-inducing reforms in periphery EMU countries and institutional reforms at the EMU level enhancing intra-EMU economic monitoring and policy co-ordination.
Author : Kristyna Ters
Publisher :
ISBN 13 :
Total Pages : 20 pages
Book Rating : 4.:/5 (13 download)
Download or read book Credit Risk Contagion Before and During the Euro Area Sovereign Debt Crisis written by Kristyna Ters and published by . This book was released on 2016 with total page 20 pages. Available in PDF, EPUB and Kindle. Book excerpt: We examine whether sovereign credit risk shocks emanating from the GIIPS countries had an effect on central European countries such as the Czech Republic, Hungary, Poland and Slovakia (the Visegrad group). In addition to the GIIPS and Visegrad group countries we als include Austria, France and Germany as control countries in our dataset. We analyse 30-minute intraday credit default swaps (CDS) data prior to the crisis period (2008-Oct. 2009) and during the crisis period (Oct. 2009-2011) which enables us to analyse changes in the dynamics of sovereign risk contagion between these two datasets. By using a panel VAR methodology we find rather comovement effects in the Visegrad group countries as they have been only marginally affected by the turmoil in the peripheral countries during the sovereign debt crisis. In contrast, we find strong contagion effects between the GIIPS countries in our sample. In addition, we study the effects of the four economic adjustment programmes by the Troika in the period from 2010 until 2011. Even though these bailouts have been essential for the GIIPS countries in terms of reducing contagion risk across the euro area, our analysis shows, that they did not have an effect for the Visegrad group countries.
Author : Go Tamakoshi
Publisher : Routledge
ISBN 13 : 1351997041
Total Pages : 170 pages
Book Rating : 4.3/5 (519 download)
Download or read book Credit Default Swap Markets in the Global Economy written by Go Tamakoshi and published by Routledge. This book was released on 2018-01-19 with total page 170 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book provides a comprehensive overview for various segments of the global credit default swap (CDS) markets, touching upon how they were affected by the recent financial turmoil. The book uses empirical analysis on credit default swap markets, applying advanced econometric methodologies to the time series data. It covers not only well-studied sovereign credit default swap markets but also sector credit default swap indices (i.e., CDS index for the banking sector) and corporate credit default swap indices (i.e., Markit iTraxx Japan CDS index), which have not been fully examined by the previous literature. The book also investigates causality and co-movement among several credit default swap markets, or between CDS and other financial markets.
Author : Go Tamakoshi
Publisher : Routledge
ISBN 13 : 131762968X
Total Pages : 151 pages
Book Rating : 4.3/5 (176 download)
Download or read book The European Sovereign Debt Crisis and Its Impacts on Financial Markets written by Go Tamakoshi and published by Routledge. This book was released on 2015-02-11 with total page 151 pages. Available in PDF, EPUB and Kindle. Book excerpt: The global financial crisis saw many Eurozone countries bearing excessive public debt. This led the government bond yields of some peripheral countries to rise sharply, resulting in the outbreak of the European sovereign debt crisis. The debt crisis is characterized by its immediate spread from Greece, the country of origin, to its neighbouring countries and the connection between the Eurozone banking sector and the public sector debt. Addressing these interesting features, this book sheds light on the impacts of the crisis on various financial markets in Europe. This book is among the first to conduct a thorough empirical analysis of the European sovereign debt crisis. It analyses, using advanced econometric methodologies, why the crisis escalated so prominently, having significant impacts on a wide range of financial markets, and was not just limited to government bond markets. The book also allows one to understand the consequences and the overall impact of such a debt crisis, enabling investors and policymakers to formulate diversification strategies, and create suitable regulatory frameworks.
