Sovereign bond yield spreads
Dynamic Correlations of Sovereign Bond Yield Spreads in the Euro zone and the Role of Credit Rating Agencies' Downgrades
... higher sovereign risk premia – not only in the Euro zone periphery, but also in the core since the beginning of the debt ...of sovereign bond yield spreads co-movements in the Euro ...
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Determinants of Sovereign Bond Yield Spreads in the EMU. An Optimal Currency Area Perspective
... economies belonging to the monetary union in what should be their aim of moving towards higher and higher degrees of economic integration, in order to ultimately tick the boxes necessary for OCA membership. Our estimates ...
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Determinants of sovereign bond yield spreads in the EMU: An optimal currency area perspective
... In a monetary union, significant cumulated inflation differentials unveil competitiveness gaps as they imply an appreciation of the real exchange rate. This in turn represents a failure of the economies belonging to the ...
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Sovereign Bond Yield Spillovers in the Euro Zone During the Financial and Debt Crisis
... between sovereign bond yield spreads exposures within the Euro zone during the financial and debt ...government bond yield spreads (BYS) between Euro zone countries over ...
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Non default Component of Sovereign Emerging Market Yield Spreads and its Determinants: Evidence from Credit Default Swap Market
... between bond yields and CDS ...corporate bond market in the price discovery ...the bond market; as a result, high equity market performance decreases both CDS premiums and their basis before the ...
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EMU sovereign spreads and macroeconomic news
... of sovereign spreads has been also largely analyzed by the ...of sovereign bond yield differentials, but less work has been produced on their macroeconomic ...
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The chicken or the egg? A note on the dynamic interrelation between government bond spreads and credit default swaps
... However, bond spreads are still affected by domestic risk factors ...the sovereign yield spreads in the euro area ...contrary, yield differentials are mainly driven by the credit ...
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Assessing the spillover effects of U.S. monetary policy normalization on Nigeria sovereign bond yield
... of sovereign bond yield in emerging ...explaining sovereign bond ...with sovereign bond ...with sovereign bond spreads in emerging ...of ...
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Sovereign and bank CDS spreads: two sides of the same coin?
... and sovereign CDS spreads show that these two time series of spreads are driven by the same risk ...and sovereign CDS spread changes, ...the yield curve, a stock index return, an ...
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Tweets, Google trends, and sovereign spreads in the GIIPS
... the sovereign spread between the GIIPS (Greece, Ireland, Italy, Portugal, Spain) and the German long-term government bond yield during the Greek debt ...
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Sovereign credit ratings and financial markets linkages: application to European data
... between sovereign credit ratings and government bond yield spreads (Table ...in yield (CDS) spreads are significant determinants of the change in effective rating and ...the ...
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Rules and risks in the euro area. Bruegel Working Paper 2011/10, 4 October 2011
... of sovereign yield spreads that accounts for risk ...the sovereign yield spreads by reducing the probability of ...the sovereign spreads: rst, it determines the ...
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A Research on Eurozone Bond Market and Determinants of Sovereign Bond Yields
... the yield spread. Bond liquidity is raising growing concern among the financial community: it has never regained its pre-crisis level, especially in riskier seg- ments such as corporate ...between ...
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The pricing of G7 sovereign bond spreads – the times, they are a changin
... the sovereign debt ...model sovereign yield spreads in the context of a Markov switching approach, which allows a country’s probability of jumping to a crisis state to depend on the occurrence ...
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Over-Investment And The Cost Of Debt
... Using bond yield spreads as a proxy for the cost of debt, we find that over-investment is positively associated with bond yield ...and bond yield spreads is weaker ...
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Diversification with idiosyncratic credit spreads: a pooled estimation on heterogeneous panels
... As a robustness check against the above results, we have added an arbitrary approach to contrast them. The arbitrary scheme in column of Table 4 adopts arbitrarily a value of 1.5 as the long run coefficient for SP AAA in ...
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Macroannouncements, Bond Auctions and Rating Actions in the European Government Bond Spreads
... government bond auctions and rating actions on the 10-year government bond spreads for Belgium, France, Italy, the Netherlands, Spain with respect to ...
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Macroannouncements, Bond Auctions and Rating Actions in the European Government Bond Spreads
... Permanent repository link: http://openaccess.city.ac.uk/6973/ Link to published version: http://dx.doi.org/10.1016/j.jimonfin.2015.01.004 Copyright and reuse: City Research Online aims t[r] ...
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The term structures of global yields
... currency sovereign yield curves for 21 developed and emerging market economies, I have documented substantial co-movement of sovereign debt markets since the ...global bond markets react ...
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Sovereign debt default and bank risk in China
... rates (Blot, Ducoudre & Timbeau, 2016). Both models focus on currency crises. In order to investigate and explain the Latin American crises in the 1980s and the 1990s Asian crises, the third generation model was ...
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