Sovereign Spreads
EMU sovereign spreads and macroeconomic news
... Lastly we have found a significant impact of negative macroeconomic surprises related to the state of the euro area economy, which means that the release of bad news brings about an increase in the conditional volatility ...
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Tweets, Google trends, and sovereign spreads in the GIIPS
... Eurozone sovereign spreads and more so for the remaining GIIPS (with the effect being stronger for Ireland and Portugal), or recent work by De Santis (2012) who identifies contagion effects in terms of the ...
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The response of euro area sovereign spreads to the ECB unconventional monetary policies National Bank of Belgium Working Paper No 309
... reduce sovereign spreads mainly (i) by drastically lowering its main refinancing operation interest rate (MRO), (ii) by providing unprece- dented amounts of liquidity support against a broader set of asset ...
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Learning to forget? Contagion and political risk in Brazil
... pre-election spreads actually showed a peak not at but after the election, specifically in early 2003 the date on which Lula was expected to take ...the sovereign spreads have declined steadily since ...
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Essays in Sovereign Credit Risk
... of sovereign default risk on external debt based on observed exports, imports and international ...of sovereign foreign-currency solvency is closely related to a country’s unobservable ‘asset value’, given ...
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Determinants of sovereign bond yield spreads in the EMU: An optimal currency area perspective
... These results suggest that some EMU countries do need fiscal consolidation in order to re- move imbalances and bring sovereign spreads to acceptable levels. Across the EMU, however, this is still a time of ...
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Rules and risks in the euro area. Bruegel Working Paper 2011/10, 4 October 2011
... Regressions I and J omit the year 2009, thereby rendering the regression ro- bust to special eects related to the economic and nancial crisis. As argued above, here we can safely consider the quality of rules-based scal ...
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Determinants Of Sovereign Bond Spreads A Comparative Analysis During The Global Financial Crisis
... ratio in 2009 is as a result of the drastic contraction in growth rates. As mentioned before, high inflation rates are generally associated with political and fiscal instability, hence economic theory predicts a positive ...
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Environmental, Social and Governance (ESG) performance and sovereign bond spreads : an empirical analysis of OECD countries
... on spreads by separately looking at the environmental, social and governance components for both 12M and 10Y sovereign ...lower sovereign bond ...on sovereign spreads are larger than ...
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Euro area CDS spreads in the crisis: The role of open market operations and contagion ESRI working paper no 449, February 2013
... CDS spreads moved ...of sovereign CDS spreads, we find for this phase a negative impact of sovereign spreads for AIB, Unicredit and Banco Comercial ...own sovereign (positive for ...
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Dynamic Correlations of Sovereign Bond Yield Spreads in the Euro zone and the Role of Credit Rating Agencies' Downgrades
... of sovereign bond yield spreads (BYS) in the Euro zone and the role of credit rating agency downgrades on those ...yield spreads co-movements within and between the Euro zone periphery and the ...
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QE in the euro area: has the PSPP benefited peripheral bonds? CEPS Working Document, March 2019
... The asset purchase programme of the euro area, active between 2015 and 2018, constitutes an interesting special case of Quantitative Easing (QE) because the ECB’s Public Sector Purchase Programme (PSPP) involved the ...
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Trustees versus fiscal agents and default risk in international sovereign bonds
... of sovereign bond contracts - all but those that are governed by the laws of England, Japan or Luxembourg - required the unanimous approval of all bondholders if any of their payment terms were to be ...a ...
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Bounding the productivity default shock : Evidence from the The European Sovereign Debt Crisis
... European Sovereign Debt Crises brought about a great opportunity to use our method- ology, as some European countries experienced large rises in the risk of default or interest rate spreads on ...
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Financial stress transmission from sovereign credit market before and after the Tunisian and Egyptian revolutions
... CDS spreads is cointegrated with all the variables of the sample and all the variables were integrated with it so the CDS spreads is not an exogenous variable and we can explore its ...CDS spreads ...
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Expectations and systemic risk in EMU government bond spreads
... of spreads level and volatility in the period fol- lowing the …nancial ...and spreads heightened ...bond spreads, followed by Italy and Spain (Table ...
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The Impact of the ECB’s Asset Purchase Programmes on Sovereign Bond Spreads in the Euro Area. Bruges European Economic Research Papers 35/2015
... Secondly, the size of the asset purchase programme needs to be sufficient to move markets. The SMP contained no ex ante limit. It worked well in terms of spread compression be- cause markets knew that the pockets of the ...
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Determinants of sovereign risk premia for European emerging markets
... 282 After the drastic deterioration in market conditions, investors’ behaviour changed, the compression of spreads was quickly reversed, and major differences in sprea- ds emerged among CEE countries. This region ...
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The Links between Sovereign Debt Spreads and Sovereign Rating Evaluations
... This certainly reflects the nature of the unresolved European debt crisis. The number of positive credit rating announcements were extremely small (revisions mostly positive outlook). These announcements came as a result ...
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A Research on Eurozone Bond Market and Determinants of Sovereign Bond Yields
... European sovereign bonds by conducting an overview of the bond ...of sovereign bonds and play a major role in the determination of their solvency and hence, the ...the sovereign bond spreads ...
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