Sovereign Contagion In Europe

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Measuring Sovereign Contagion in Europe

Author : Massimiliano Caporin
Publisher :
ISBN 13 :
Total Pages : 58 pages
Book Rating : 4.:/5 (129 download)

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Book Synopsis Measuring Sovereign Contagion in Europe by : Massimiliano Caporin

Download or read book Measuring Sovereign Contagion in Europe written by Massimiliano Caporin and published by . This book was released on 2020 with total page 58 pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper analyzes the sovereign risk contagion using credit default swaps (CDS) and bond premiums for the major eurozone countries. By emphasizing several econometric approaches (nonlinear regression, quantile regression and Bayesian quantile regression with heteroskedasticity) we show that propagation of shocks in Europe's CDS has been remarkably constant for the period 2008-2011 even though a significant part of the sample periphery countries have been extremely affected by their sovereign debt and fiscal situations. Thus, the integration among the different eurozone countries is stable, and the risk spillover among these countries is not affected by the size of the shock, implying that so far contagion has remained subdue. Results for the CDS sample are confirmed by examining bond spreads. However, the analysis of bond data shows that there is a change in the intensity of the propagation of shocks in the 2003-2006 pre-crisis period and the 2008-2011 post-Lehman one, but the coefficients actually go down, not up! All the increases in correlation we have witnessed over the last years come from larger shocks and the heteroskedasticity in the data, not from similar shocks propagated with higher intensity across Europe. This is the first paper, to our knowledge, where a Bayesian quantile regression approach is used to measure contagion. This methodology is particularly well-suited to deal with nonlinear and unstable transmission mechanisms.

Measuring Sovereign Contagion in Europe

Author : Massimiliano Caporin
Publisher :
ISBN 13 :
Total Pages : 0 pages
Book Rating : 4.:/5 (129 download)

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Book Synopsis Measuring Sovereign Contagion in Europe by : Massimiliano Caporin

Download or read book Measuring Sovereign Contagion in Europe written by Massimiliano Caporin and published by . This book was released on 2012 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper analyzes the sovereign risk contagion using credit default swaps (CDS) and bond premiums for the major eurozone countries. By emphasizing several econometric approaches (nonlinear regression, quantile regression and Bayesian quantile regression with heteroskedasticity) we show that propagation of shocks in Europe's CDS has been remarkably constant for the period 2008-2011 even though a significant part of the sample periphery countries have been extremely affected by their sovereign debt and fiscal situations. Thus, the integration among the different eurozone countries is stable, and the risk spillover among these countries is not affected by the size of the shock, implying that so far contagion has remained subdue. Results for the CDS sample are confirmed by examining bond spreads. However, the analysis of bond data shows that there is a change in the intensity of the propagation of shocks in the 2003-2006 pre-crisis period and the 2008-2011 post-Lehman one, but the coefficients actually go down, not up! All the increases in correlation we have witnessed over the last years come from larger shocks and the heteroskedasticity in the data, not from similar shocks propagated with higher intensity across Europe. This is the first paper, to our knowledge, where a Bayesian quantile regression approach is used to measure contagion. This methodology is particularly well-suited to deal with nonlinear and unstable transmission mechanisms -- National Bureau of Economic Research web site.

Measuring Sovereign Contagion in Europe

Author : Massimiliano Caporin
Publisher :
ISBN 13 :
Total Pages : 57 pages
Book Rating : 4.:/5 (793 download)

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Book Synopsis Measuring Sovereign Contagion in Europe by : Massimiliano Caporin

Download or read book Measuring Sovereign Contagion in Europe written by Massimiliano Caporin and published by . This book was released on 2012 with total page 57 pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper analyzes the sovereign risk contagion using credit default swaps (CDS) and bond premiums for the major eurozone countries. By emphasizing several econometric approaches (nonlinear regression, quantile regression and Bayesian quantile regression with heteroskedasticity) we show that propagation of shocks in Europe's CDS has been remarkably constant for the period 2008-2011 even though a significant part of the sample periphery countries have been extremely affected by their sovereign debt and fiscal situations. Thus, the integration among the different eurozone countries is stable, and the risk spillover among these countries is not affected by the size of the shock, implying that so far contagion has remained subdue. Results for the CDS sample are confirmed by examining bond spreads. However, the analysis of bond data shows that there is a change in the intensity of the propagation of shocks in the 2003-2006 pre-crisis period and the 2008-2011 post-Lehman one, but the coefficients actually go down, not up! All the increases in correlation we have witnessed over the last years come from larger shocks and the heteroskedasticity in the data, not from similar shocks propagated with higher intensity across Europe. This is the first paper, to our knowledge, where a Bayesian quantile regression approach is used to measure contagion. This methodology is particularly well-suited to deal with nonlinear and unstable transmission mechanisms.

Sovereign Contagion in Europe

Author : Paolo Manasse
Publisher :
ISBN 13 :
Total Pages : 42 pages
Book Rating : 4.:/5 (131 download)

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Book Synopsis Sovereign Contagion in Europe by : Paolo Manasse

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.

Contagion in EU Sovereign Yield Spreads

Author : António Afonso
Publisher :
ISBN 13 :
Total Pages : pages
Book Rating : 4.:/5 (962 download)

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Book Synopsis Contagion in EU Sovereign Yield Spreads by : António Afonso

Download or read book Contagion in EU Sovereign Yield Spreads written by António Afonso and published by . This book was released on 2013 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt:

The European Sovereign Debt Crisis

Author : Phoebus L. Athanassiou
Publisher : Routledge
ISBN 13 : 1000423093
Total Pages : 165 pages
Book Rating : 4.0/5 (4 download)

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Book Synopsis The European Sovereign Debt Crisis by : Phoebus L. Athanassiou

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.

Contagion in the European Sovereign Debt Crisis

Author : Brent Glover
Publisher :
ISBN 13 :
Total Pages : 47 pages
Book Rating : 4.:/5 (893 download)

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Book Synopsis Contagion in the European Sovereign Debt Crisis by : Brent Glover

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.

The Pricing of Sovereign Risk and Contagion During the European Sovereign Debt Crisis

Author : John Beirne
Publisher :
ISBN 13 :
Total Pages : 41 pages
Book Rating : 4.:/5 (13 download)

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Book Synopsis The Pricing of Sovereign Risk and Contagion During the European Sovereign Debt Crisis by : John Beirne

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 2013 with total page 41 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 spill overs 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.

Managing the Sovereign-Bank Nexus

Author : Mr.Giovanni Dell'Ariccia
Publisher : International Monetary Fund
ISBN 13 : 1484359623
Total Pages : 54 pages
Book Rating : 4.4/5 (843 download)

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Book Synopsis Managing the Sovereign-Bank Nexus by : Mr.Giovanni Dell'Ariccia

Download or read book Managing the Sovereign-Bank Nexus written by Mr.Giovanni Dell'Ariccia and published by International Monetary Fund. This book was released on 2018-09-07 with total page 54 pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper reviews empirical and theoretical work on the links between banks and their governments (the bank-sovereign nexus). How significant is this nexus? What do we know about it? To what extent is it a source of concern? What is the role of policy intervention? The paper concludes with a review of recent policy proposals.

Contagion Risks in the European Sovereign Debt Crisis

Author : Alesia Kalbaska
Publisher :
ISBN 13 :
Total Pages : pages
Book Rating : 4.:/5 (955 download)

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Book Synopsis Contagion Risks in the European Sovereign Debt Crisis by : Alesia Kalbaska

Download or read book Contagion Risks in the European Sovereign Debt Crisis written by Alesia Kalbaska and published by . This book was released on 2013 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt:

The European Sovereign Debt Crisis and Its Impacts on Financial Markets

Author : Go Tamakoshi
Publisher : Routledge
ISBN 13 : 1317629671
Total Pages : 154 pages
Book Rating : 4.3/5 (176 download)

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Book Synopsis The European Sovereign Debt Crisis and Its Impacts on Financial Markets by : Go Tamakoshi

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.

Bust

Author : Matthew Lynn
Publisher : John Wiley & Sons
ISBN 13 : 1119990688
Total Pages : 290 pages
Book Rating : 4.1/5 (199 download)

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Book Synopsis Bust by : Matthew Lynn

Download or read book Bust written by Matthew Lynn and published by John Wiley & Sons. This book was released on 2010-12-21 with total page 290 pages. Available in PDF, EPUB and Kindle. Book excerpt: Athens, Greece—May Day 2010. The International Monetary Fund (IMF) and the European Union (EU) were putting together the final details of a $100 billion euro rescue package for the country. The Greek Prime Minister, George Papandreou, had agreed to a savage package of “austerity measures” involving cuts in public spending and lower salaries and pensions. Outside, riot police were deployed as protestors gathered to fight the austerity program. A country with a history of revolution and dictatorship hovered on the brink of collapse—with the world’s financial markets watching to see if the deal cobbled together would be enough to both calm the markets and rescue the Greek economy, and with it the euro, from oblivion. In Bust: Greece, the Euro, and the Sovereign Debt Crisis, leading market commentator Matthew Lynn blends financial history, politics, and current affairs to tell the story of how one nation rode the wave of economic prosperity and brought a continent, a currency, and, potentially, the global financial system to its knees. Bust is a story of government deceit, unfettered spending, and cheap borrowing: a tale of financial folly to rank alongside the greatest in history. It charts Greece’s rise, and spectacular fall from grace, but it also explores the global repercussions of a financial disaster that has only just begun. It explains how the Greek debt crisis spread like wildfire through the rest of Europe, hitting Ireland, Portugal, Italy, and Spain, and ultimately provoking a crisis that brought the euro to the edge of collapse. And it argues that the Greek crisis is just the start of a decade of financial turmoil that will eventually force the break up of the euro, and a massive retrenchment in the living standards of all the developed economies. Written in a lively and entertaining style, Bust: Greece, the Euro, and the Sovereign Debt Crisis is an engaging and informative account of a country gone wrong and a must-read for anyone interested in world events and global economics.

Financial Contagion During the European Sovereign Debt Crisis

Author : Vassilios G. Papavassiliou
Publisher :
ISBN 13 :
Total Pages : pages
Book Rating : 4.:/5 (13 download)

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Book Synopsis Financial Contagion During the European Sovereign Debt Crisis by : Vassilios G. Papavassiliou

Download or read book Financial Contagion During the European Sovereign Debt Crisis written by Vassilios G. Papavassiliou and published by . This book was released on 2014 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: Contagion is an elusive concept and several definitions have been used in the literature. According to Forbes and Rigobon (2002) contagion is defined as a significant increase in cross-market linkages after a shock to one country. In this paper we provide a selective literature review on international financial contagion, placing special emphasis on the ongoing European sovereign debt crisis. In summary, empirical research has pointed toward the existence of contagion effects during periods of financial turmoil. The paper summarizes various policy measures and institutional reforms that would help regulators and policy makers to deal with the adverse effects of contagion.

Contagion and Determination of Yield Differentials in the European Sovereign Debt Crisis

Author : Yijing Sun
Publisher :
ISBN 13 :
Total Pages : 144 pages
Book Rating : 4.:/5 (11 download)

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Book Synopsis Contagion and Determination of Yield Differentials in the European Sovereign Debt Crisis by : Yijing Sun

Download or read book Contagion and Determination of Yield Differentials in the European Sovereign Debt Crisis written by Yijing Sun and published by . This book was released on 2011 with total page 144 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Credit Risk Contagion Before and During the Euro Area Sovereign Debt Crisis

Author : Kristyna Ters
Publisher :
ISBN 13 :
Total Pages : 20 pages
Book Rating : 4.:/5 (13 download)

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Book Synopsis Credit Risk Contagion Before and During the Euro Area Sovereign Debt Crisis by : Kristyna Ters

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.

Disentangling Contagion Among Sovereign CDS Spreads During the European Debt Crisis

Author : Carmen Broto
Publisher :
ISBN 13 :
Total Pages : pages
Book Rating : 4.:/5 (891 download)

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Book Synopsis Disentangling Contagion Among Sovereign CDS Spreads During the European Debt Crisis by : Carmen Broto

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:

Sovereign Risk Zones in Europe During and After the Debt Crisis

Author : Veni Arakelian
Publisher :
ISBN 13 :
Total Pages : 30 pages
Book Rating : 4.:/5 (13 download)

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Book Synopsis Sovereign Risk Zones in Europe During and After the Debt Crisis by : Veni Arakelian

Download or read book Sovereign Risk Zones in Europe During and After the Debt Crisis written by Veni Arakelian and published by . This book was released on 2018 with total page 30 pages. Available in PDF, EPUB and Kindle. Book excerpt: We employ a machine learning approach to build a European sovereign risk stratification using macroeconomic fundamentals and contagion measures, proxied by copula-based credit default swap (CDS) dependencies over the period 2008-2017, for France, Germany, Greece, Ireland, Italy, Portugal, and Spain. By adopting a recursive partitioning strategy we detect specific risk zones varying from safe to high risk based on key predictors, and we construct their specification by assigning specific risk thresholds. While key macroeconomic fundamentals such as Debt/GDP and the unemployment rate remained the same and maintained the same risk thresholds during (2008-2013) and after (2013-2017) the crisis, the CDS spreads contagion dropped significantly over the post-crisis years, lowering the corresponding risk thresholds. We estimate an impact on CDS spreads approximately of -150 basis points in the period 2013-2017 due to contagion mitigation.