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Emu Sovereign Debt Market Crisis
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Book Synopsis EMU Sovereign Debt Market Crisis by : Marta Gómez-Puig
Download or read book EMU Sovereign Debt Market Crisis written by Marta Gómez-Puig and published by . This book was released on 2014 with total page 31 pages. Available in PDF, EPUB and Kindle. Book excerpt: We empirically investigate whether the transmission of the recent crisis in euro area sovereign debt markets was due to fundamentals-based or pure contagion. To do so, we examine the behaviour of EMU sovereign bond yield spreads with respect to the German bund for a sample of both central and peripheral countries from January 1999 to December 2012. First we apply a dynamic approach to analyse the evolution of the degree of Granger-causality within the 90 pairs of sovereign bond yield spreads in our sample, in order to detect episodes of significantly increased causality between them (which we associate with contagion) and episodes of significantly reduced interconnection (which we associate with immunisation). We then use an ordered logit model to assess the determinants of the occurrence of the episodes detected. Our results suggest the importance of variables proxying market sentiment and of variables proxying macrofundamentals in determining contagion and immunisation outcomes. Therefore, our findings underline the coexistence of “pure” and “fundamentals-based contagion” during the recent European debt crisis.
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 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.
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.
Book Synopsis Sovereign Risk and Financial Crisis by : Silvia Pepino
Download or read book Sovereign Risk and Financial Crisis written by Silvia Pepino and published by Springer. This book was released on 2015-08-11 with total page 185 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book provides an original and timely insight into the role that the domestic and international political economy played in the Eurozone sovereign debt crisis, combining an innovative theoretical framework with in-depth bond market analysis.
Book Synopsis The EMU Sovereign-debt Crisis by : Michael G. Arghyrou
Download or read book The EMU Sovereign-debt Crisis written by Michael G. Arghyrou and published by . This book was released on 2011 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 based on the theoretical model by Arghyrou and Tsoukalas (2010). 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."--Publication information p.
Book Synopsis The Effects of the Eurozone Sovereign Debt Crisis by : Christian Schweiger
Download or read book The Effects of the Eurozone Sovereign Debt Crisis written by Christian Schweiger and published by Routledge. This book was released on 2017-10-02 with total page 160 pages. Available in PDF, EPUB and Kindle. Book excerpt: The book analyses the emerging centre-periphery divisions within the European Union which result from the unprecedented conditions created by the 2008-09 global financial crisis and the subsequent Eurozone sovereign debt crisis. The multiple layers of policy coordination which emerged in response to the crisis have initiated a process by which the EU is increasingly divided in terms of the level of vertical integration between the Eurozone core group and differentiated peripheries amongst the outsiders. At the same time the sovereign debt crisis has created a periphery of predominantly Southern European countries within the Eurozone that became dependent on external financial support from the other member states. The contributions in this book critically examine various aspects of the emerging internal post-crisis constellation of the EU. The main focus lies on national and supranational governance issues, national dynamics and dynamics in the Eurozone core as well as in the periphery. This book was originally published as a special issue of Perspectives on European Politics and Society.
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.
Book Synopsis Reflections on the Greek Sovereign Debt Crisis by : Aristidis Bitzenis
Download or read book Reflections on the Greek Sovereign Debt Crisis written by Aristidis Bitzenis and published by Cambridge Scholars Publishing. This book was released on 2014-09-26 with total page 396 pages. Available in PDF, EPUB and Kindle. Book excerpt: The euro was generally considered a success in its first decade. Nevertheless, the “unanticipated” financial crisis in the summer of 2007 has developed gradually into the worst global economic crisis in post-war economic history and a sovereign debt crisis, calling into question the endurance of positive externalities under the current form of European economic integration. The experience of double-dip recessions in the core of the euro-area and the occurrence of a deflationary spiral in its southern periphery brings into question the wisdom of fiscal consolidation via austerity in the adjustment programmes adopted to exit the crisis. They also put into doubt the adequacy and efficiency of the European Economic and Monetary Union’s core elements, its political instruments and macroeconomic assumptions, as can be seen in the role of the Stability and Growth Pact and the stance of the European Central Bank. The title of this collective volume refers to the country where the European sovereign debt crisis began, while its contents concentrate on the extent to which this crisis should be a national or a European concern. Moreover, the focus on Greece stimulates discussion about the neglected factor of the shadow economy and the potential to boost government revenue through its successful transfer to the formal economy. The chapters address the inefficiencies of both euro-area institutions and policies adopted to exit the current predicament. Experts from several disciplines review the literature and critically evaluate the existence of issues such as contagion effects, domino effects, deflationary spirals, institutional efficiency and the reality of the option to exit the euro-area.
Book Synopsis Causality and Contagion in EMU Sovereign Debt Markets by : Marta Gómez-Puig
Download or read book Causality and Contagion in EMU Sovereign Debt Markets written by Marta Gómez-Puig and published by . This book was released on 2014 with total page 34 pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper contributes to the literature by applying the Granger-causality approach and endogenous breakpoint test to offer an operational definition of contagion to examine European Economic and Monetary Union (EMU) countries public debt behaviour. A database of yields on 10-year government bonds issued by 11 EMU countries covering fourteen years of monetary union is used. The main results suggest that the 41 new causality patterns, which appeared for the first time in the crisis period, and the intensification of causality recorded in 70% of the cases, provide clear evidence of contagion in the aftermath of the current euro debt crisis.
Book Synopsis The World Scientific Handbook of Futures Markets by : Anastasios G. E. T. Al MALLIARIS
Download or read book The World Scientific Handbook of Futures Markets written by Anastasios G. E. T. Al MALLIARIS and published by World Scientific. This book was released on 2015-08-06 with total page 844 pages. Available in PDF, EPUB and Kindle. Book excerpt: "The World Scientific Handbook of Futures Markets serves as a definitive source for comprehensive and accessible information in futures markets. The emphasis is on the unique characteristics of futures markets that make them worthy of a special volume. In our judgment, futures markets are currently undergoing remarkable changes as trading is shifting from open outcry to electronic and as the traditional functions of hedging and speculation are extended to include futures as an alternative investment vehicle in traditional portfolios. The unique feature of this volume is the selection of five classic papers that lay the foundations of the futures markets and the invitation to the leading academics who do work in the area to write critical surveys in a dozen important topics."--$cProvided by publisher.
Book Synopsis Euro Area Sovereign Risk During the Crisis by : Ms.Silvia Sgherri
Download or read book Euro Area Sovereign Risk During the Crisis written by Ms.Silvia Sgherri and published by International Monetary Fund. This book was released on 2009-10-01 with total page 25 pages. Available in PDF, EPUB and Kindle. Book excerpt: While the use of public resources is critical to cushion the impact of the financial crisis on the euro-area economy, it is key that the entailed fiscal costs not be seen by markets as undermining fiscal sustainability. From this perspective, to what extent do movements in euro area sovereign spreads reflect country-specific solvency concerns? In line with previous studies, the paper suggests that euro area sovereign risk premium differentials tend to comove over time and are mainly driven by a common time-varying factor, mimicking global risk repricing. Since October 2008, however, there is evidence that markets have become progressively more concerned about the potential fiscal implications of national financial sectors' frailty and future debt dynamics. The liquidity of sovereign bond markets still seems to play a significant (albeit fairly limited) role in explaining changes in euro area spreads.
Book Synopsis Studies on the Sovereign Debt Market by : Bachar Fakhry & Christian R. Richter
Download or read book Studies on the Sovereign Debt Market written by Bachar Fakhry & Christian R. Richter and published by KSP Books. This book was released on 2020-01-01 with total page 135 pages. Available in PDF, EPUB and Kindle. Book excerpt: The Sovereign Debt Market is an essential section of the global financial market. In essence it is the main route for governments to cover any fiscal deficit in their budget. As of end of 2018, the market was US$188 trillion according to the IMF report on 17 December 2019. The market was long regarded as a safe haven for investors, especially the US treasuries and German Bunds. However in recent years the market has suffered several crises leaving investors questioning their high quality ratings. In this book we look at the efficiency and stability of the sovereign debt markets at the heart of the crises: US, German, Greek, Italian Portuguese and Spanish sovereign debt markets. We ask ourselves are these markets moving according to the Efficient Market Hypothesis or Behavioural Finance Theory?
Book Synopsis The Effects of EMU Crisis Policies on Market Trust in Sovereign Debt by : Ambros Ecke
Download or read book The Effects of EMU Crisis Policies on Market Trust in Sovereign Debt written by Ambros Ecke and published by . This book was released on 2016 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Financial Stress Transmission in EMU Sovereign Bond Market Volatility by : Fernando Fernández Rodríguez
Download or read book Financial Stress Transmission in EMU Sovereign Bond Market Volatility written by Fernando Fernández Rodríguez and published by . This book was released on 2015 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Transmission of the Financial and Sovereign Debt Crisis to the EMU by : Theoharry Grammatikos
Download or read book Transmission of the Financial and Sovereign Debt Crisis to the EMU written by Theoharry Grammatikos and published by . This book was released on 2011 with total page 25 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Quantitative Easing and the Pricing of EMU Sovereign Debt by : Harald Kinateder
Download or read book Quantitative Easing and the Pricing of EMU Sovereign Debt written by Harald Kinateder and published by . This book was released on 2019 with total page 52 pages. Available in PDF, EPUB and Kindle. Book excerpt: We study the pricing of EMU sovereign debt by a novel panel regression approach. This allows us to consider a comprehensive set of observable explanatory variables jointly with additional unobservable time-varying common factors. We add to the existing literature by considering the pricing effects of conventional as well as unconventional monetary policy and by controlling for possible variance risk premium effects. During the European sovereign debt crisis, unconventional monetary policy is found to have a pronounced spread decreasing effect, where policy elasticity is about three times larger than prior to the crisis. Furthermore, a rise in the variance risk premium significantly relates to spread increases. During the overall sample period, changes in country-specific bond market liquidity as well as aggregate market liquidity both help to explain yield spread variations. Three time-varying common factors account for about two-thirds of the variation in yield spread changes. The major component is a systematic risk factor, which captures a time-varying risk premium. The remainder factors help to explain bond valuations prior to and during the debt crisis.
Book Synopsis Sovereign Debt Markets in Turbulent Times by : Fernando Broner
Download or read book Sovereign Debt Markets in Turbulent Times written by Fernando Broner and published by International Monetary Fund. This book was released on 2013-12-27 with total page 63 pages. Available in PDF, EPUB and Kindle. Book excerpt: In 2007, countries in the Euro periphery were enjoying stable growth, low deficits, and low spreads. Then the financial crisis erupted and pushed them into deep recessions, raising their deficits and debt levels. By 2010, they were facing severe debt problems. Spreads increased and, surprisingly, so did the share of the debt held by domestic creditors. Credit was reallocated from the private to the public sectors, reducing investment and deepening the recessions even further. To account for these facts, we propose a simple model of sovereign risk in which debt can be traded in secondary markets. The model has two key ingredients: creditor discrimination and crowding-out effects. Creditor discrimination arises because, in turbulent times, sovereign debt offers a higher expected return to domestic creditors than to foreign ones. This provides incentives for domestic purchases of debt. Crowding-out effects arise because private borrowing is limited by financial frictions. This implies that domestic debt purchases displace productive investment. The model shows that these purchases reduce growth and welfare, and may lead to self-fulfilling crises. It also shows how crowding-out effects can be transmitted to other countries in the Eurozone, and how they may be addressed by policies at the European level.
