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An analysis of euro area sovereign CDS and their relation with government bonds

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Cited by:

  1. Óscar Arce & Sergio Mayordomo & Juan Ignacio Peña, 2012. "Credit-valuation in the sovereing CDS and bonds markets: Evidence from the euro area crisis," CNMV Working Papers CNMV Working Papers no. 5, CNMV- Spanish Securities Markets Commission - Research and Statistics Department.
  2. D’Agostino, Antonello & Ehrmann, Michael, 2014. "The pricing of G7 sovereign bond spreads – The times, they are a-changin," Journal of Banking & Finance, Elsevier, vol. 47(C), pages 155-176.
  3. Kliber Agata, 2016. "Impact Of The Ban On Uncovered SCDS Trade On the Interdependencies Between The CDS Market And Other Sectors Of Financial Markets. The Case Of Safe And Developed Versus Risky And Developing European Ma," Comparative Economic Research, Sciendo, vol. 19(1), pages 77-99, March.
  4. Eisenkopf, Gerald & Hessami, Zohal & Fischbacher, Urs & Ursprung, Heinrich W., 2015. "Academic performance and single-sex schooling: Evidence from a natural experiment in Switzerland," Journal of Economic Behavior & Organization, Elsevier, vol. 115(C), pages 123-143.
  5. Dufrénot, Gilles & Gente, Karine & Monsia, Frédia, 2016. "Macroeconomic imbalances, financial stress and fiscal vulnerability in the euro area before the debt crises: A market view," Journal of International Money and Finance, Elsevier, vol. 67(C), pages 123-146.
  6. Frijns, Bart & Zwinkels, Remco C.J., 2020. "Absence of speculation in the European sovereign debt markets," Journal of Economic Behavior & Organization, Elsevier, vol. 169(C), pages 245-265.
  7. Ivelina Pavlova & Maria E. de Boyrie, 2015. "Carry Trades and Sovereign CDS Spreads: Evidence from Asia‐Pacific Markets," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 35(11), pages 1067-1087, November.
  8. Camba-Méndez, Gonzalo & Serwa, Dobromił, 2016. "Market perception of sovereign credit risk in the euro area during the financial crisis," The North American Journal of Economics and Finance, Elsevier, vol. 37(C), pages 168-189.
  9. Haddou, Samira, 2024. "Determinants of CDS in core and peripheral European countries: A comparative study during crisis and calm periods," The North American Journal of Economics and Finance, Elsevier, vol. 71(C).
  10. Gibson, Heather D. & Hall, Stephen G. & Tavlas, George S., 2016. "How the euro-area sovereign-debt crisis led to a collapse in bank equity prices," Journal of Financial Stability, Elsevier, vol. 26(C), pages 266-275.
  11. Kinateder, Harald & Papavassiliou, Vassilios G., 2019. "Sovereign bond return prediction with realized higher moments," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 62(C), pages 53-73.
  12. Kim, Gi H. & Li, Haitao & Zhang, Weina, 2016. "CDS-bond basis and bond return predictability," Journal of Empirical Finance, Elsevier, vol. 38(PA), pages 307-337.
  13. De Pooter, Michiel & Martin, Robert F. & Pruitt, Seth, 2018. "The Liquidity Effects of Official Bond Market Intervention," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 53(1), pages 243-268, February.
  14. Guidolin, Massimo & Pedio, Manuela & Tosi, Alessandra, 2021. "Time-varying price discovery in sovereign credit markets," Finance Research Letters, Elsevier, vol. 38(C).
  15. Patrick Augustin, 2012. "Sovereign Credit Default Swap Premia," Working Papers 12-10, New York University, Leonard N. Stern School of Business, Department of Economics.
  16. repec:cii:cepiei:2015-q1-141-4 is not listed on IDEAS
  17. Wenmei Yang & Adriano S. Koshiyama, 2019. "Assessing qualitative similarities between financial reporting frameworks using visualization and rules: COREP vs. pillar 3," Intelligent Systems in Accounting, Finance and Management, John Wiley & Sons, Ltd., vol. 26(1), pages 16-31, January.
  18. Coroneo, Laura & Pastorello, Sergio, 2020. "European spreads at the interest rate lower bound," Journal of Economic Dynamics and Control, Elsevier, vol. 119(C).
  19. Broto, Carmen & Pérez-Quirós, Gabriel, 2015. "Disentangling contagion among sovereign CDS spreads during the European debt crisis," Journal of Empirical Finance, Elsevier, vol. 32(C), pages 165-179.
  20. Skintzi, Vasiliki D., 2019. "Determinants of stock-bond market comovement in the Eurozone under model uncertainty," International Review of Financial Analysis, Elsevier, vol. 61(C), pages 20-28.
  21. Brutti, Filippo & Sauré, Philip, 2015. "Transmission of sovereign risk in the Euro crisis," Journal of International Economics, Elsevier, vol. 97(2), pages 231-248.
  22. Badaoui, Saad & Cathcart, Lara & El-Jahel, Lina, 2013. "Do sovereign credit default swaps represent a clean measure of sovereign default risk? A factor model approach," Journal of Banking & Finance, Elsevier, vol. 37(7), pages 2392-2407.
  23. Marat Kurbangaleev & Victor Lapshin & Sergey N. Smirnov, 2015. "Study of Consistency of Bond and CDS Quotes," HSE Working papers WP BRP 43/FE/2015, National Research University Higher School of Economics.
  24. Singh, Manish K. & Gómez-Puig, Marta & Sosvilla-Rivero, Simón, 2016. "Sovereign-bank linkages: Quantifying directional intensity of risk transfers in EMU countries," Journal of International Money and Finance, Elsevier, vol. 63(C), pages 137-164.
  25. Belke, Ansgar & Gros, Daniel, 2021. "QE in the euro area: Has the PSPP benefited peripheral bonds?," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 73(C).
  26. Nissinen, Juuso & Sihvonen, Markus, 2024. "Bond convenience curves and funding costs," Journal of International Economics, Elsevier, vol. 151(C).
  27. Molyneux, Philip & Pancotto, Livia & Reghezza, Alessio, 2021. "A new measure for gauging the riskiness of European Banks’ sovereign bond portfolios," Finance Research Letters, Elsevier, vol. 42(C).
  28. Blommestein, Hans & Eijffinger, Sylvester & Qian, Zongxin, 2016. "Regime-dependent determinants of Euro area sovereign CDS spreads," Journal of Financial Stability, Elsevier, vol. 22(C), pages 10-21.
  29. Telila, Henok Fasil, 2023. "Frontier markets sovereign risk: New evidence from spatial econometric models," Finance Research Letters, Elsevier, vol. 58(PD).
  30. Buse, Rebekka & Schienle, Melanie, 2019. "Measuring connectedness of euro area sovereign risk," International Journal of Forecasting, Elsevier, vol. 35(1), pages 25-44.
  31. R. Giacometti & G. Torri & G. Farina & M. E. Giuli, 2020. "Risk attribution and interconnectedness in the EU via CDS data," Computational Management Science, Springer, vol. 17(4), pages 549-567, December.
  32. Calice, Giovanni & Mio, RongHui & Štěrba, Filip & Vašíček, Bořek, 2015. "Short-term determinants of the idiosyncratic sovereign risk premium: A regime-dependent analysis for European credit default swaps," Journal of Empirical Finance, Elsevier, vol. 33(C), pages 174-189.
  33. Michele Anelli & Michele Patanè & Mario Toscano & Alessio Gioia, 2021. "The Evolution of the Lead-lag Markets in the Price Discovery Process of the Sovereign Credit Risk: the Case of Italy," Journal of Applied Finance & Banking, SCIENPRESS Ltd, vol. 11(2), pages 1-7.
  34. Drakos, Anastasios & Moratis, Georgios, 2024. "The impact of COVID-19 on sovereign contagion," Journal of Financial Stability, Elsevier, vol. 70(C).
  35. Lukasz Dopierala & Daria Ilczuk & Liwiusz Wojciechowski, 2020. "Sovereign credit ratings and CDS spreads in Emerging Europe," Equilibrium. Quarterly Journal of Economics and Economic Policy, Institute of Economic Research, vol. 15(3), pages 419-438, September.
  36. Corsi, Fulvio & Lillo, Fabrizio & Pirino, Davide & Trapin, Luca, 2018. "Measuring the propagation of financial distress with Granger-causality tail risk networks," Journal of Financial Stability, Elsevier, vol. 38(C), pages 18-36.
  37. Avino, Davide & Cotter, John, 2014. "Sovereign and bank CDS spreads: Two sides of the same coin?," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 32(C), pages 72-85.
  38. Avino, Davide & Cotter, John, 2013. "Sovereign and bank CDS spreads: two sides of the same coin for European bank default predictability?," MPRA Paper 56782, University Library of Munich, Germany.
  39. Gomes, Pedro & Kurter, Zeynep O. & Morita, Rubens, 2022. "European Sovereign Bond and Stock Market Granger Causality Dynamics," The Warwick Economics Research Paper Series (TWERPS) 1405, University of Warwick, Department of Economics.
  40. Name 1 Dieter Wang Email 1 & Iman (I.P.P.) van Lelyveld & Julia (J.) Schaumburg, 2018. "Do information contagion and business model similarities explain bank credit risk commonalities?," Tinbergen Institute Discussion Papers 18-100/IV, Tinbergen Institute.
  41. Jitmaneeroj, Boonlert, 2018. "Is Thailand’s credit default swap market linked to bond and stock markets? Evidence from the term structure of credit spreads," Research in International Business and Finance, Elsevier, vol. 46(C), pages 324-341.
  42. Mustafa Tevfik KARTAL, 2022. "The Role of Macroeconomic and Market Indicators in Explaining Sovereign Credit Default Swaps (CDS) Spread Changes: Evidence from Türkiye," Journal for Economic Forecasting, Institute for Economic Forecasting, vol. 0(2), pages 145-164, April.
  43. María Cantero Sáiz & Sergio Sanfilippo Azofra & Begoña Torre Olmo, 2019. "The single supervision mechanism and contagion between bank and sovereign risk," Journal of Regulatory Economics, Springer, vol. 55(1), pages 67-106, February.
  44. Massimo Guidolin & Francesco Melloni & Manuela Pedio, 2019. "A Markov Switching Cointegration Analysis of the CDS-Bond Basis Puzzle," BAFFI CAREFIN Working Papers 19121, BAFFI CAREFIN, Centre for Applied Research on International Markets Banking Finance and Regulation, Universita' Bocconi, Milano, Italy.
  45. Di Tommaso, Caterina & Foglia, Matteo & Pacelli, Vincenzo, 2023. "The impact and the contagion effect of natural disasters on sovereign credit risk. An empirical investigation," International Review of Financial Analysis, Elsevier, vol. 87(C).
  46. Markus Brunnermeier & Laurent Clerc & Yanis El Omari & Silvia Gabrieli & Steffen Kern & Christoph Memmel & Tuomas Peltonen & Natalia Podlich & Martin Scheicher & Guillaume Vuillemey, 2013. "Assessing contagion risks from the CDS market," ESRB Occasional Paper Series 04, European Systemic Risk Board.
  47. Serge Darolles & Jeremy Dudek & Gaëlle Le Fol, 2014. "Liquidity risk and contagion for liquid funds," Post-Print hal-01632776, HAL.
  48. Chuffart, Thomas & Hooper, Emma, 2019. "An investigation of oil prices impact on sovereign credit default swaps in Russia and Venezuela," Energy Economics, Elsevier, vol. 80(C), pages 904-916.
  49. Bampinas, Georgios & Panagiotidis, Theodore & Politsidis, Panagiotis N., 2023. "Sovereign bond and CDS market contagion: A story from the Eurozone crisis," Journal of International Money and Finance, Elsevier, vol. 137(C).
  50. Peng, Wei, 2021. "The transmission of default risk between banks and countries based on CAViaR models," International Review of Economics & Finance, Elsevier, vol. 72(C), pages 500-509.
  51. Marcia Millon Cornett & Otgontsetseg Erhemjamts & Jim Musumeci, 2016. "Were U.S. Banks Exposed to the Greek Debt Crisis? Evidence from Greek CDS Spreads," Financial Markets, Institutions & Instruments, John Wiley & Sons, vol. 25(1), pages 75-104, January.
  52. Juha Kilponen & Helinä Laakkonen & Jouko Vilmunen, 2015. "Sovereign Risk, European Crisis-Resolution Policies, and Bond Spreads," International Journal of Central Banking, International Journal of Central Banking, vol. 11(2), pages 285-323, March.
  53. Mili, Mehdi, 2019. "The impact of tradeoff between risk and return on mean reversion in sovereign CDS markets," Research in International Business and Finance, Elsevier, vol. 48(C), pages 187-200.
  54. da Silva, Paulo Pereira & Rebelo, Paulo Tomaz & Afonso, Cristina, 2014. "Tail dependence of financial stocks and CDS markets: Evidence using copula methods and simulation-based inference," Economics - The Open-Access, Open-Assessment E-Journal (2007-2020), Kiel Institute for the World Economy (IfW Kiel), vol. 8, pages 1-27.
  55. Gnewuch, Matthias, 2022. "Spillover effects of sovereign debt-based quantitative easing in the euro area," European Economic Review, Elsevier, vol. 145(C).
  56. Andrea Consiglio & Michele Tumminello & Stavros A. Zenios, 2018. "Pricing Sovereign Contingent Convertible Debt," Journal of Enterprising Culture (JEC), World Scientific Publishing Co. Pte. Ltd., vol. 21(08), pages 1-36, December.
  57. Mr. Frigyes F Heinz & Ms. Yan M Sun, 2014. "Sovereign CDS Spreads in Europe: The Role of Global Risk Aversion, Economic Fundamentals, Liquidity, and Spillovers," IMF Working Papers 2014/017, International Monetary Fund.
  58. Zlatuse Komarkova & Jitka Lesanovska & Lubos Komarek, 2013. "Analysis of Sovereign Risk Market Indicators: The Case of the Czech Republic," Czech Journal of Economics and Finance (Finance a uver), Charles University Prague, Faculty of Social Sciences, vol. 63(1), pages 5-24, March.
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  60. Gibson, Heather D. & Hall, Stephen G. & Tavlas, George S., 2012. "The Greek financial crisis: Growing imbalances and sovereign spreads," Journal of International Money and Finance, Elsevier, vol. 31(3), pages 498-516.
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  62. Augustin, Patrick & Subrahmanyam, Marti G. & Tang, Dragon Yongjun & Wang, Sarah Qian, 2014. "Credit Default Swaps: A Survey," Foundations and Trends(R) in Finance, now publishers, vol. 9(1-2), pages 1-196, December.
  63. Debarsy, Nicolas & Dossougoin, Cyrille & Ertur, Cem & Gnabo, Jean-Yves, 2018. "Measuring sovereign risk spillovers and assessing the role of transmission channels: A spatial econometrics approach," Journal of Economic Dynamics and Control, Elsevier, vol. 87(C), pages 21-45.
  64. Marcel Fratzscher & Malte Rieth, 2019. "Monetary Policy, Bank Bailouts and the Sovereign-Bank Risk Nexus in the Euro Area," Review of Finance, European Finance Association, vol. 23(4), pages 745-775.
  65. Benjamin Born & Gernot J. Müller & Johannes Pfeifer, 2020. "Does Austerity Pay Off?," The Review of Economics and Statistics, MIT Press, vol. 102(2), pages 323-338, May.
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