Disentangling Contagion Among Sovereign Cds Spreads During The European Debt Crisis
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Disentangling Contagion Among Sovereign Cds Spreads During The European Debt Crisis
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Author : Carmen Broto
language : en
Publisher:
Release Date : 2013
Disentangling Contagion Among Sovereign Cds Spreads During The European Debt Crisis written by Carmen Broto and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2013 with categories.
Contagion In The European Sovereign Debt Crisis
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Author : Brent Glover
language : en
Publisher:
Release Date : 2014
Contagion In The European Sovereign Debt Crisis written by Brent Glover and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2014 with Debts, Public categories.
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 European Sovereign Debt Crisis And Its Impacts On Financial Markets
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Author : Go Tamakoshi
language : en
Publisher: Routledge
Release Date : 2015-02-11
The European Sovereign Debt Crisis And Its Impacts On Financial Markets written by Go Tamakoshi and has been published by Routledge this book supported file pdf, txt, epub, kindle and other format this book has been release on 2015-02-11 with Business & Economics categories.
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.
The Pricing Of Sovereign Risk And Contagion During The European Sovereign Debt Crisis
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Author : John Beirne
language : en
Publisher:
Release Date : 2012
The Pricing Of Sovereign Risk And Contagion During The European Sovereign Debt Crisis written by John Beirne and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2012 with Country risk categories.
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.
Systemic Risk And Financial Market Contagion
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Author : Theodore D. Bratis
language : en
Publisher:
Release Date : 2015
Systemic Risk And Financial Market Contagion written by Theodore D. Bratis and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2015 with categories.
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.
The Dynamics Of Spillover Effects During The European Sovereign Debt Crisis
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Author : Adrian Alter
language : en
Publisher:
Release Date : 2013
The Dynamics Of Spillover Effects During The European Sovereign Debt Crisis written by Adrian Alter and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2013 with categories.
In this paper we develop empirical measures for the strength of spillover effects. Modifying and extending the framework by Diebold and Yilmaz (2011), we quantify spillovers between sovereign credit markets and banks in the euro area. Spillovers are estimated recursively from a vector autoregressive model of daily CDS spread changes, with exogenous common factors. We account for interdependencies between sovereign and bank CDS spreads and we derive generalised impulse response functions. Specifically, we assess the systemic effect of an unexpected shock to the creditworthiness of a particular sovereign or country-specific bank index to other sovereign or bank CDSs between October 2009 and July 2012. Channels of transmission from or to sovereigns and banks are aggregated as a Contagion Index (CI). This index is disentangled into four components, the average potential spillover: i) amongst sovereigns, ii) amongst banks, iii) from sovereigns to banks, and iv) vice-versa. We highlight the impact of policy-related events along the different components of the contagion index. The systemic contribution of each sovereign or banking group is quantified as the net spillover weight in the total net-spillover measure. Finally, the captured time-varying interdependence between banks and sovereigns emphasises the evolution of their strong nexus.
European Sovereign Debt Crisis And Its Contagion Evidence From The Cds Market
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Author : Ray Yeu-tien Chou
language : en
Publisher:
Release Date : 2013
European Sovereign Debt Crisis And Its Contagion Evidence From The Cds Market written by Ray Yeu-tien Chou and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2013 with categories.
The Anatomy Of Sovereign Credit Contagion
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Author : Elena Kalotychou
language : en
Publisher:
Release Date : 2015
The Anatomy Of Sovereign Credit Contagion written by Elena Kalotychou and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2015 with categories.
We analyze the channels for the cross-border propagation of sovereign credit risk in the international sovereign debt market. We study sovereign credit contagion through the immediate effects of credit events as defined by CDS spread jumps on the credit spreads of other regional sovereigns and on the rest of the world. We find that such “fast and furious” contagion has been primarily a regional phenomenon, however, a global “slow-burn” spillover of credit events was also in force during the recent European debt crisis. We are able to model the protracted spillover mechanism through the effects of identified sovereign credit events on a global sovereign risk factor and time varying country-specific factor loadings.
Sovereign Contagion In Europe
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Author : Paolo Manasse
language : en
Publisher:
Release Date : 2013
Sovereign Contagion In Europe written by Paolo Manasse and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2013 with categories.
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.
Sovereign Risk Zones In Europe During And After The Debt Crisis
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Author : Veni Arakelian
language : en
Publisher:
Release Date : 2018
Sovereign Risk Zones In Europe During And After The Debt Crisis written by Veni Arakelian and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2018 with categories.
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.