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Sovereign and corporate credit risk: Evidence from the Eurozone

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Cited by:

  1. Rosati, Nicoletta & Bellia, Mario & Matos, Pedro Verga & Oliveira, Vasco, 2020. "Ratings matter: Announcements in times of crisis and the dynamics of stock markets," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 64(C).
  2. Burkhard Raunig, 2018. "Economic Policy Uncertainty and the Volatility of Sovereign CDS Spreads," Working Papers 219, Oesterreichische Nationalbank (Austrian Central Bank).
  3. Ruggero Jappelli & Loriana Pelizzon & Alberto Plazzi, 2021. "The Core, the Periphery, and the Disaster: Corporate-Sovereign Nexus in COVID-19 Times," Swiss Finance Institute Research Paper Series 21-30, Swiss Finance Institute.
  4. Lucey, Brian M. & Vigne, Samuel A. & Ballester, Laura & Barbopoulos, Leonidas & Brzeszczynski, Janusz & Carchano, Oscar & Dimic, Nebojsa & Fernandez, Viviana & Gogolin, Fabian & González-Urteaga, Ana , 2018. "Future directions in international financial integration research - A crowdsourced perspective," International Review of Financial Analysis, Elsevier, vol. 55(C), pages 35-49.
  5. Zaghini, Andrea, 2017. "A tale of fragmentation: Corporate funding in the euro-area bond market," International Review of Financial Analysis, Elsevier, vol. 49(C), pages 59-68.
  6. Brigo, Damiano & Francischello, Marco & Pallavicini, Andrea, 2019. "Nonlinear valuation under credit, funding, and margins: Existence, uniqueness, invariance, and disentanglement," European Journal of Operational Research, Elsevier, vol. 274(2), pages 788-805.
  7. Egemen Eren & Semyon Malamud & Haonan Zhou, 2023. "Signaling with debt currency choice," BIS Working Papers 1067, Bank for International Settlements.
  8. Cathcart, Lara & Dufour, Alfonso & Rossi, Ludovico & Varotto, Simone, 2020. "The differential impact of leverage on the default risk of small and large firms," Journal of Corporate Finance, Elsevier, vol. 60(C).
  9. Lakdawala, Aeimit & Minetti, Raoul & Olivero, María Pía, 2018. "Interbank markets and bank bailout policies amid a sovereign debt crisis," Journal of Economic Dynamics and Control, Elsevier, vol. 93(C), pages 131-153.
  10. Bevilaqua, Julia & Hale, Galina B. & Tallman, Eric, 2020. "Corporate yields and sovereign yields," Journal of International Economics, Elsevier, vol. 124(C).
  11. Drago, Danilo & Gallo, Raffaele, 2017. "The impact of sovereign rating changes on European syndicated loan spreads: The role of the rating-based regulation," Journal of International Money and Finance, Elsevier, vol. 73(PA), pages 213-231.
  12. Gabriel Zsurkis, 2022. "Determinants of cost of equity for listed euro area banks," Working Papers w202209, Banco de Portugal, Economics and Research Department.
  13. Zaghini, Andrea, 2019. "The CSPP at work: Yield heterogeneity and the portfolio rebalancing channel," Journal of Corporate Finance, Elsevier, vol. 56(C), pages 282-297.
  14. Fiordelisi, Franco & Girardone, Claudia & Minnucci, Federica & Ricci, Ornella, 2020. "On the nexus between sovereign risk and banking crises," Journal of Corporate Finance, Elsevier, vol. 65(C).
  15. Salvador, Carlos & Fernández de Guevara, Juan & Pastor, José Manuel, 2018. "The adjustment of bank ratings in the financial crisis: International evidence," The North American Journal of Economics and Finance, Elsevier, vol. 44(C), pages 289-313.
  16. Hasan, Iftekhar & Kim, Suk-Joong & Politsidis, Panagiotis N. & Wu, Eliza, 2021. "Loan syndication under Basel II: How do firm credit ratings affect the cost of credit?," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 72(C).
  17. Andres, Christian & Betzer, André & Doumet, Markus, 2021. "Measuring changes in credit risk: The case of CDS event studies," Global Finance Journal, Elsevier, vol. 49(C).
  18. Costas Milas & Theodore Panagiotidis & Theologos Dergiades, 2021. "Does It Matter Where You Search? Twitter versus Traditional News Media," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 53(7), pages 1757-1795, October.
  19. Kaas, Leo & Mellert, Jan & Scholl, Almuth, 2020. "Sovereign and private default risks over the business cycle," Journal of International Economics, Elsevier, vol. 123(C).
  20. Fornari, Fabio & Zaghini, Andrea, 2022. "It’s not time to make a change: Sovereign fragility and the corporate credit risk," Journal of International Money and Finance, Elsevier, vol. 128(C).
  21. Nijskens, Rob & Mokas, Dimitris, 2019. "Credit Risk in Commercial Real Estate Bank Loans : The Role of Idiosyncratic versus Macro-Economic Factors," Other publications TiSEM ea4f2f0e-dc50-4987-91d3-6, Tilburg University, School of Economics and Management.
  22. Julia Bevilaqua & Galina Hale & Eric Tallman, 2020. "Corporate Yields: Effect of Credit Ratings and Sovereign Yields," AEA Papers and Proceedings, American Economic Association, vol. 110, pages 499-503, May.
  23. Zaghini, Andrea, 2016. "Fragmentation and heterogeneity in the euro-area corporate bond market: Back to normal?," Journal of Financial Stability, Elsevier, vol. 23(C), pages 51-61.
  24. Anastasios Petropoulos & Vasilis Siakoulis & Evangelos Stavroulakis, 2022. "Towards an early warning system for sovereign defaults leveraging on machine learning methodologies," Intelligent Systems in Accounting, Finance and Management, John Wiley & Sons, Ltd., vol. 29(2), pages 118-129, April.
  25. Annalisa Ferrando & Alexander Popov & Gregory F. Udell, 2019. "Do SMEs Benefit from Unconventional Monetary Policy and How? Microevidence from the Eurozone," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 51(4), pages 895-928, June.
  26. B M, Lithin & chakraborty, Suman & iyer, Vishwanathan & M N, Nikhil & ledwani, Sanket, 2022. "Modeling asymmetric sovereign bond yield volatility with univariate GARCH models: Evidence from India," MPRA Paper 117067, University Library of Munich, Germany, revised 05 Jan 2023.
  27. Christian Gross & Pierre L. Siklos, 2020. "Analyzing credit risk transmission to the nonfinancial sector in Europe: A network approach," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 35(1), pages 61-81, January.
  28. Buch, Claudia M. & Koetter, Michael & Ohls, Jana, 2016. "Banks and sovereign risk: A granular view," Journal of Financial Stability, Elsevier, vol. 25(C), pages 1-15.
  29. Riaz, Yasir & Faff, Robert & Shehzad, Choudhry Tanveer & Shahab, Yasir, 2023. "Behavioral implications of sovereign ceiling doctrine for the access to credit by firms," International Review of Financial Analysis, Elsevier, vol. 90(C).
  30. Roman Garcia & Dimitri Lorenzani & Daniel Monteiro & Francesco Perticari & Bořek Vašíček & Lukas Vogel, 2021. "Financial Spillover and Contagion Risks in the Euro Area in 2007-2019," European Economy - Discussion Papers 137, Directorate General Economic and Financial Affairs (DG ECFIN), European Commission.
  31. Carlo Altavilla & Giacomo Carboni & Roberto Motto, 2021. "Asset Purchase Programs and Financial Markets: Lessons from the Euro Area," International Journal of Central Banking, International Journal of Central Banking, vol. 17(70), pages 1-48, October.
  32. Syed Jawad Hussain Shahzad & Elie Bouri & Jose Arreola-Hernandez & David Roubaud & Stelios Bekiros, 2019. "Spillover across Eurozone credit market sectors and determinants," Applied Economics, Taylor & Francis Journals, vol. 51(59), pages 6333-6349, December.
  33. Samir Kadiric & Arthur Korus, 2019. "The effects of Brexit on credit spreads: Evidence from UK and Eurozone corporate bond markets," International Economics and Economic Policy, Springer, vol. 16(1), pages 65-102, March.
  34. Jinho Choi & Alexander den Ruijter & Kimi Xu Jiang & Edmund Moshammer, 2022. "Japan’s sovereign rating in the post-pandemic era," Working Papers 52, European Stability Mechanism.
  35. Bertoni, Fabio & Lugo, Stefano, 2018. "Detecting abnormal changes in credit default swap spreads using matching-portfolio models," Journal of Banking & Finance, Elsevier, vol. 90(C), pages 146-158.
  36. Costas Milas & Theodore Panagiotidis & Theologos Dergiades, 2018. "Twitter versus Traditional News Media: Evidence for the Sovereign Bond Markets," Working Paper series 18-42, Rimini Centre for Economic Analysis.
  37. Boris Hofmann & Nikhil Patel & Steve Pak Yeung Wu, 2022. "Original sin redux: a model-based evaluation," BIS Working Papers 1004, Bank for International Settlements.
  38. Hasan, Iftekhar & Kim, Suk-Joong & Politsidis, Panagiotis & Wu, Eliza, 2020. "Syndicated bank lending and rating downgrades: Do sovereign ceiling policies really matter?," MPRA Paper 102941, University Library of Munich, Germany.
  39. Samir Kadiric & Arthur Korus, 2018. "Effects of Brexit on Corporate Yield Spreads: Evidence from UK and Eurozone Corporate Bond Markets," EIIW Discussion paper disbei251, Universitätsbibliothek Wuppertal, University Library.
  40. Minetti, Raoul & Cao, Qingqing & Di Pietro, Marco & Kokas, Sotirios, 2020. "Bank Due Diligence in the Business Cycle," Working Papers 2020-3, Michigan State University, Department of Economics, revised 11 May 2020.
  41. António Afonso & Frederico Silva Leal, 2017. "Sovereign yield spreads in the EMU: crisis and structural determinants," Working Papers Department of Economics 2017/09, ISEG - Lisbon School of Economics and Management, Department of Economics, Universidade de Lisboa.
  42. Dodd, Olga & Kalimipalli, Madhu & Chan, Wing, 2021. "Evaluating corporate credit risks in emerging markets," International Review of Financial Analysis, Elsevier, vol. 73(C).
  43. Thomas A. Knetsch & Arne J. Nagengast, 2017. "Penny wise and pound foolish? On the income from Germany’s foreign investments," Review of World Economics (Weltwirtschaftliches Archiv), Springer;Institut für Weltwirtschaft (Kiel Institute for the World Economy), vol. 153(4), pages 753-778, November.
  44. Sanket Mohapatra & Manabu Nose & Dilip Ratha, 2018. "Determinants of the distance between sovereign credit ratings and sub-sovereign bond ratings: Evidence from emerging markets and developing economies," Applied Economics, Taylor & Francis Journals, vol. 50(9), pages 934-956, February.
  45. Balcilar, Mehmet & Ozdemir, Zeynel Abidin & Ozdemir, Huseyin & Wohar, Mark E., 2020. "Spillover effects in oil-related CDS markets during and after the sub-prime crisis," The North American Journal of Economics and Finance, Elsevier, vol. 54(C).
  46. Anastasios Petropoulos & Vassilis Siakoulis & Konstantinos P. Panousis & Loukas Papadoulas & Sotirios Chatzis, 2023. "Macroeconomic forecasting and sovereign risk assessment using deep learning techniques," Papers 2301.09856, arXiv.org.
  47. To, Thomas Y. & Wu, Eliza & Zhang, Lambert, 2022. "Mind the sovereign ceiling on corporate performance," Journal of Corporate Finance, Elsevier, vol. 75(C).
  48. Ibhagui, Oyakhilome, 2021. "How do sovereign risk, equity and foreign exchange derivatives markets interact?," Economic Modelling, Elsevier, vol. 97(C), pages 58-78.
  49. Lakdawala, Aeimit & Minetti, Raoul & Olivero, María Pía, 2017. "Interbank Markets and Credit Policies amid a Sovereign Debt Crisis," School of Economics Working Paper Series 2017-1, LeBow College of Business, Drexel University.
  50. Rancan, Michela & Cariboni, Jessica & Keasey, Kevin & Vallascas, Francesco, 2023. "Bond issuance and the funding choices of European banks: The consequences of public debt," Journal of Empirical Finance, Elsevier, vol. 74(C).
  51. Neele Balke, 2018. "The Employment Cost of Sovereign Default," 2018 Meeting Papers 1256, Society for Economic Dynamics.
  52. Michael Bleaney & Veronica Veleanu, 2017. "Currency risk in corporate bond spreads in the eurozone," Discussion Papers 2017/07, University of Nottingham, Centre for Finance, Credit and Macroeconomics (CFCM).
  53. Ambrocio, Gene & Gu, Xian & Hasan, Iftekhar, 2022. "Political ties and raising capital in global markets: Evidence from Yankee bonds," Journal of Corporate Finance, Elsevier, vol. 74(C).
  54. Benbouzid, Nadia & Mallick, Sushanta & Pilbeam, Keith, 2018. "The housing market and the credit default swap premium in the UK banking sector: A VAR approach," Research in International Business and Finance, Elsevier, vol. 44(C), pages 1-15.
  55. Pagano, Michael S. & Sedunov, John, 2016. "A comprehensive approach to measuring the relation between systemic risk exposure and sovereign debt," Journal of Financial Stability, Elsevier, vol. 23(C), pages 62-78.
  56. Lutfi Abdul Razak & Mansor H. Ibrahim & Adam Ng, 2020. "Which Sustainability Dimensions Affect Credit Risk? Evidence from Corporate and Country-Level Measures," JRFM, MDPI, vol. 13(12), pages 1-22, December.
  57. Santiago Camara, 2021. "US Spillovers of US Monetary Policy: Information effects & Financial Flows," Papers 2108.01026, arXiv.org, revised May 2024.
  58. Li, Delong & Magud, Nicolas E. & Werner, Alejandro, 2023. "The long-run impact of sovereign yields on corporate yields in emerging markets," Journal of International Money and Finance, Elsevier, vol. 130(C).
  59. De Marco, Filippo, 2019. "Bank Lending and the European Sovereign Debt Crisis," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 54(1), pages 155-182, February.
  60. Caiazza, Stefano & Galloppo, Giuseppe & La Rosa, Giovanni, 2023. "The mitigation role of corporate sustainability: Evidence from the CDS spread," Finance Research Letters, Elsevier, vol. 52(C).
  61. Mangirdas Morkunas & Gintaras Cernius & Gintare Giriuniene, 2019. "Assessing Business Risks of Natural Gas Trading Companies: Evidence from GET Baltic," Energies, MDPI, vol. 12(14), pages 1-14, July.
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