The Dynamics Of Spillover Effects During The European Sovereign Debt Crisis
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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.
The Dynamics Of Spillover Effects During The European Sovereign Debt Turmoil
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Author : Adrian Alter
language : en
Publisher:
Release Date : 2012
The Dynamics Of Spillover Effects During The European Sovereign Debt Turmoil 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 2012 with categories.
Sovereign Rating News And Financial Markets Spillovers
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Author : Mr.Rabah Arezki
language : en
Publisher: International Monetary Fund
Release Date : 2011-03-01
Sovereign Rating News And Financial Markets Spillovers written by Mr.Rabah Arezki and has been published by International Monetary Fund this book supported file pdf, txt, epub, kindle and other format this book has been release on 2011-03-01 with Business & Economics categories.
This paper examines the spillover effects of sovereign rating news on European financial markets during the period 2007-2010. Our main finding is that sovereign rating downgrades have statistically and economically significant spillover effects both across countries and financial markets. The sign and magnitude of the spillover effects depend both on the type of announcements, the source country experiencing the downgrade and the rating agency from which the announcements originates. However, we also find evidence that downgrades to near speculative grade ratings for relatively large economies such as Greece have a systematic spillover effects across Euro zone countries. Rating-based triggers used in banking regulation, CDS contracts, and investment mandates may help explain these results.
The Effects Of The Eurozone Sovereign Debt Crisis
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Author : Christian Schweiger
language : en
Publisher: Routledge
Release Date : 2017-10-02
The Effects Of The Eurozone Sovereign Debt Crisis written by Christian Schweiger and has been published by Routledge this book supported file pdf, txt, epub, kindle and other format this book has been release on 2017-10-02 with Political Science categories.
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.
The World Scientific Handbook Of Futures Markets
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Author : Anastasios G. E. T. Al MALLIARIS
language : en
Publisher: World Scientific
Release Date : 2015-08-06
The World Scientific Handbook Of Futures Markets written by Anastasios G. E. T. Al MALLIARIS and has been published by World Scientific this book supported file pdf, txt, epub, kindle and other format this book has been release on 2015-08-06 with Business & Economics categories.
"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.
The European Sovereign Debt Crisis
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Author : Phoebus L. Athanassiou
language : en
Publisher: Routledge
Release Date : 2021-08-23
The European Sovereign Debt Crisis written by Phoebus L. Athanassiou and has been published by Routledge this book supported file pdf, txt, epub, kindle and other format this book has been release on 2021-08-23 with Law categories.
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.
Sovereign Spreads
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Author : Miguel A. Segoviano Basurto
language : en
Publisher: International Monetary Fund
Release Date : 2010-05-01
Sovereign Spreads written by Miguel A. Segoviano Basurto and has been published by International Monetary Fund this book supported file pdf, txt, epub, kindle and other format this book has been release on 2010-05-01 with Business & Economics categories.
Over the past year, euro area sovereign spreads have exhibited an unprecedented degree of volatility. This paper explores how much of these large movements reflected shifts in (i) global risk aversion (ii) country-specific risks, directly from worsening fundamentals, or indirectly from spillovers originating in other sovereigns. The analysis shows that earlier in the crisis, the surge in global risk aversion was a significant factor influencing sovereign spreads, while recently country-specific factors have started playing a more important role. The perceived source of contagion itself has changed: previously, it could be found among those sovereigns hit hard by the financial crisis, such as Austria, the Netherlands, and Ireland, whereas lately the countries putting pressure on euro area government bonds have been primarily Greece, Portugal, and Spain, as the emphasis has shifted towards short-term refinancing risk and long-term fiscal sustainability. The paper concludes that debt sustainability and appropriate management of sovereign balance sheets are necessary conditions for preventing sovereign risk from feeding back into broader financial stability concerns.
The Dynamics Of Sovereign Debt Crises And Bailouts
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Author : Mr.Francisco Roch
language : en
Publisher: International Monetary Fund
Release Date : 2016-07-11
The Dynamics Of Sovereign Debt Crises And Bailouts written by Mr.Francisco Roch and has been published by International Monetary Fund this book supported file pdf, txt, epub, kindle and other format this book has been release on 2016-07-11 with Business & Economics categories.
Motivated by the recent European debt crisis, this paper investigates the scope for a bailout guarantee in a sovereign debt crisis. Defaults may arise from negative income shocks, government impatience or a "sunspot"-coordinated buyers strike. We introduce a bailout agency, and characterize the minimal actuarially fair intervention that guarantees the no-buyers-strike fundamental equilibrium, relying on the market for residual financing. The intervention makes it cheaper for governments to borrow, inducing them borrow more, leaving default probabilities possibly rather unchanged. The maximal backstop will be pulled precisely when fundamentals worsen.
Essays On International Financial Spillovers And Sovereign Default Risk
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Author : Hamid Reza Tabarraei
language : en
Publisher:
Release Date : 2014
Essays On International Financial Spillovers And Sovereign Default Risk written by Hamid Reza Tabarraei and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2014 with categories.
The goal of this thesis is to present theoretical and empirical investigations of mechanisms through which sovereign crises propagate across countries. In particular, I analyze the spillover effects of the European debt cri sis on emerging economies and on the banking system in Europe. The thesis includes four chapters in which the transmission mechanisms are analyzed from different angles. Chapter 1 and chapter \2 present theoretical models of sovereign contagion risk and sovereign default risk based on the literature of global games. Chapter 3 analyses empirically the role of international banking flows in propagating the Euro debt crisis t emerging economies. Finally, chapter 4 presents a dynamic stochastic general equilibrium mod (DSGE) to examine the impact of sovereign default risk on the banking system and the role of banks as financial intermediaries in transmitting shocks to the real economy.
The Debt Crisis In The Eurozone
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Author : Nikos Petropoulos
language : en
Publisher: Cambridge Scholars Publishing
Release Date : 2014-06-02
The Debt Crisis In The Eurozone written by Nikos Petropoulos and has been published by Cambridge Scholars Publishing this book supported file pdf, txt, epub, kindle and other format this book has been release on 2014-06-02 with Social Science categories.
During the past four years, the countries of the European periphery – the so-called PIIGS (Portugal, Ireland, Italy, Greece and Spain) – have been experiencing an economic-financial crisis that can only be compared to the Great Depression. To solve the crisis, the EU and the IMF instituted bailout programs for the debit countries on conditions of austerity and structural reforms. In this volume 20 social scientists, using both theoretical and empirical tools, delve into the causes and the social impacts of this crisis. The volume also provides an excellent background for a better comprehension of the dynamics of structural and political changes now taking place within the European Union. The social impacts cover a range of consequences, including poverty, unemployment, anti-migrant attitudes, a decline of welfare and health indicators, post-traumatic stress disorders, national humiliation, political alienation and social protest. The authors analyse the “international” and the “domestic” causes of the crisis, while some of them underline the importance of both factors. In the concluding chapter, the editors undertake a synthesis of the previous chapters, and extract a number of policy recommendations that – if adopted – could transform the current financial crisis into a growth-opportunity for the European Union and its member states.