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What is the risk of European sovereign debt defaults? Fiscal space, CDS spreads and market pricing of risk

Citations

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Cited by:

  1. Afonso, António & Arghyrou, Michael G. & Gadea, María Dolores & Kontonikas, Alexandros, 2018. "“Whatever it takes” to resolve the European sovereign debt crisis? Bond pricing regime switches and monetary policy effects," Journal of International Money and Finance, Elsevier, vol. 86(C), pages 1-30.
  2. Athanasios Orphanides, 2020. "The fiscal–monetary policy mix in the euro area: challenges at the zero lower bound," Economic Policy, CEPR;CES;MSH, vol. 35(103), pages 461-517.
  3. Luca Metelli & Kevin Pallara, 2020. "Fiscal space and the size of the fiscal multiplier," Temi di discussione (Economic working papers) 1293, Bank of Italy, Economic Research and International Relations Area.
  4. Anne-Laure Delatte & Julien Fouquau & Richard Portes, 2014. "Nonlinearities in sovereign risk pricing the role of cds index contracts," SciencePo Working papers Main hal-03460263, HAL.
  5. Dieppe, Alistair & Mourinho Félix, Ricardo & Marchiori, Luca & Grech, Owen & Albani, Maria & Lalouette, Laure & Kulikov, Dmitry & Papadopoulou, Niki & Sideris, Dimitris & Irac, Delphine & Gordo Mora, , 2015. "Public debt, population ageing and medium-term growth," Occasional Paper Series 165, European Central Bank.
  6. 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.
  7. Eijffinger, Sylvester C.W. & Kobielarz, Michał L. & Uras, Burak R., 2018. "Sovereign default, exit and contagion in a monetary union," Journal of International Economics, Elsevier, vol. 113(C), pages 1-19.
  8. Burkhard Raunig, 2018. "Economic Policy Uncertainty and the Volatility of Sovereign CDS Spreads," Working Papers 219, Oesterreichische Nationalbank (Austrian Central Bank).
  9. Claeys, Peter & Vašíček, Bořek, 2014. "Measuring bilateral spillover and testing contagion on sovereign bond markets in Europe," Journal of Banking & Finance, Elsevier, vol. 46(C), pages 151-165.
  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. Beirne, John & Fratzscher, Marcel, 2013. "The pricing of sovereign risk and contagion during the European sovereign debt crisis," Journal of International Money and Finance, Elsevier, vol. 34(C), pages 60-82.
  12. Perego, Erica, 2020. "Sovereign risk and asset market dynamics in the euro area," Journal of International Money and Finance, Elsevier, vol. 109(C).
  13. Blot, Christophe & Ducoudré, Bruno & Timbeau, Xavier, 2016. "Sovereign debt spread and default in a model with self-fulfilling prophecies and asymmetric information," Journal of Macroeconomics, Elsevier, vol. 47(PB), pages 281-299.
  14. Cornand, Camille & Gandré, Pauline & Gimet, Céline, 2016. "Increase in home bias in the Eurozone debt crisis: The role of domestic shocks," Economic Modelling, Elsevier, vol. 53(C), pages 445-469.
  15. Böhm, Hannes & Eichler, Stefan, 2020. "Avoiding the fall into the loop: Isolating the transmission of bank-to-sovereign distress in the Euro Area," Journal of Financial Stability, Elsevier, vol. 51(C).
  16. Balima, Wenéyam Hippolyte & Combes, Jean-Louis & Minea, Alexandru, 2017. "Sovereign debt risk in emerging market economies: Does inflation targeting adoption make any difference?," Journal of International Money and Finance, Elsevier, vol. 70(C), pages 360-377.
  17. Daniele Siena, 2021. "The Euro Area Periphery and Imbalances: Is it an Anticipation Story?," Review of Economic Dynamics, Elsevier for the Society for Economic Dynamics, vol. 40, pages 278-308, April.
  18. Eichler, Stefan & Rövekamp, Ingmar, 2017. "Eurozone exit risk," CEPIE Working Papers 07/17, Technische Universität Dresden, Center of Public and International Economics (CEPIE).
  19. Joshua Aizenman & Yothin Jinjarak, 2012. "Income Inequality, Tax Base and Sovereign Spreads," FinanzArchiv: Public Finance Analysis, Mohr Siebeck, Tübingen, vol. 68(4), pages 431-444, December.
  20. Dewachter, Hans & Iania, Leonardo & Lyrio, Marco & de Sola Perea, Maite, 2015. "A macro-financial analysis of the euro area sovereign bond market," Journal of Banking & Finance, Elsevier, vol. 50(C), pages 308-325.
  21. Georgoutsos, Dimitris A. & Migiakis, Petros M., 2013. "Heterogeneity of the determinants of euro-area sovereign bond spreads; what does it tell us about financial stability?," Journal of Banking & Finance, Elsevier, vol. 37(11), pages 4650-4664.
  22. Hernando Vargas-Herrera & Juan Jose Ospina & Jose Vicente Romero, 2022. "The Covid-19 shock and the monetary policy response in Colombia," BIS Papers chapters, in: Bank for International Settlements (ed.), The monetary-fiscal policy nexus in the wake of the pandemic, volume 122, pages 79-114, Bank for International Settlements.
  23. Joshua Aizenman & Mahir Binici & Michael M. Hutchison, 2016. "The Transmission of Federal Reserve Tapering News to Emerging Financial Markets," International Journal of Central Banking, International Journal of Central Banking, vol. 12(2), pages 317-356, June.
  24. Proaño, Christian R. & Lojak, Benjamin, 2021. "Monetary Policy with a State-Dependent Inflation Target in a Behavioral Two-Country Monetary Union Model," Journal of Economic Dynamics and Control, Elsevier, vol. 133(C).
  25. De Santis, Roberto A., 2012. "The Euro area sovereign debt crisis: safe haven, credit rating agencies and the spread of the fever from Greece, Ireland and Portugal," Working Paper Series 1419, European Central Bank.
  26. Kinateder, Harald & Wagner, Niklas, 2017. "Quantitative easing and the pricing of EMU sovereign debt," The Quarterly Review of Economics and Finance, Elsevier, vol. 66(C), pages 1-12.
  27. Hao, Xiangchao & Sun, Qinru & Xie, Fang, 2022. "The COVID-19 pandemic, consumption and sovereign credit risk: Cross-country evidence," Economic Modelling, Elsevier, vol. 109(C).
  28. Stavros E. Arvanitis & Theodoros V. Stamatopoulos & Dimitris Terzakis, 2018. "Is There a Non-linear Relationship of Market Value with Cash and Ownership?," SPOUDAI Journal of Economics and Business, SPOUDAI Journal of Economics and Business, University of Piraeus, vol. 68(1), pages 3-25, January-M.
  29. Cepni, Oguzhan & Kucuksarac, Doruk & Yilmaz, M. Hasan, 2017. "The sensitivity of credit default swap premium to global risk factor: Evidence from emerging markets," Economics Letters, Elsevier, vol. 159(C), pages 74-77.
  30. 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.
  31. Michel Aglietta & Xavier Ragot, 2015. "Érosion du tissu productif en France. Causes et remèdes," Revue de l'OFCE, Presses de Sciences-Po, vol. 0(6), pages 95-150.
  32. António Afonso & Nuno Verdial, 2019. "Sovereign debt crisis in Portugal and in Spain," Working Papers REM 2019/0112, ISEG - Lisbon School of Economics and Management, REM, Universidade de Lisboa.
  33. Aristei, David & Martelli, Duccio, 2014. "Sovereign bond yield spreads and market sentiment and expectations: Empirical evidence from Euro area countries," Journal of Economics and Business, Elsevier, vol. 76(C), pages 55-84.
  34. Eijffinger, S.C.W. & Kobielarz, M.L. & Uras, R.B., 2015. "Sovereign Debt, Bail-Outs and Contagion in a Monetary Union," Discussion Paper 2015-018, Tilburg University, Center for Economic Research.
  35. Agata Kliber, 2014. "The Dynamics of Sovereign Credit Default Swaps and the Evolution of the Financial Crisis in Selected Central European Economies," Czech Journal of Economics and Finance (Finance a uver), Charles University Prague, Faculty of Social Sciences, vol. 64(4), pages 330-350, September.
  36. Anne-Laure Delatte & Julien Fouquau & Richard Portes, 2017. "Regime-Dependent Sovereign Risk Pricing During the Euro Crisis," Review of Finance, European Finance Association, vol. 21(1), pages 363-385.
  37. Djedje Hermann YOHOU, 2015. "In Search of Fiscal Space in Africa: The Role of the Quality of Government Spending," Working Papers 201527, CERDI.
  38. De Grauwe, Paul & Ji, Yuemei, 2022. "The fragility of the Eurozone: has it disappeared?," LSE Research Online Documents on Economics 112543, London School of Economics and Political Science, LSE Library.
  39. Mikhail Stolbov, 2017. "Assessing systemic risk and its determinants for advanced and major emerging economies: the case of ΔCoVaR," International Economics and Economic Policy, Springer, vol. 14(1), pages 119-152, January.
  40. 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.
  41. Joshua Aizenman & Yothin Jinjarak, 2012. "The Fiscal Stimulus of 2009-2010: Trade Openness, Fiscal Space, and Exchange Rate Adjustment," NBER International Seminar on Macroeconomics, University of Chicago Press, vol. 8(1), pages 301-342.
  42. 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.
  43. Paul De Grauwe, 2022. "Towards a New Euro Crisis?," Intereconomics: Review of European Economic Policy, Springer;ZBW - Leibniz Information Centre for Economics;Centre for European Policy Studies (CEPS), vol. 57(5), pages 273-277, September.
  44. Naifar, Nader & Shahzad, Syed Jawad Hussain, 2022. "Tail event-based sovereign credit risk transmission network during COVID-19 pandemic," Finance Research Letters, Elsevier, vol. 45(C).
  45. Nicholas Apergis & Ahdi Noomen Ajmi, 2015. "Systemic Sovereign Risk and Asset Prices: Evidence from the CDS Market, Stressed European Economies and Nonlinear Causality Tests," Czech Journal of Economics and Finance (Finance a uver), Charles University Prague, Faculty of Social Sciences, vol. 65(2), pages 106-126, April.
  46. Joshua Aizenman & Mahir Binici & Michael Hutchison, 2013. "Credit ratings and the pricing of sovereign debt during the euro crisis," Oxford Review of Economic Policy, Oxford University Press, vol. 29(3), pages 582-609, AUTUMN.
  47. Weneyam Hippolyte Balima & Jean-Louis Combes & Alexandru Minea, 2015. "Sovereign Debt Risk in Emerging Countries: Does Inflation Targeting Adoption Make Any Difference?," Working Papers halshs-01128239, HAL.
  48. Lalik, Magdalena, 2017. "Interactions between fiscal multipliers and sovereign risk premium during fiscal consolidation: model based assessment for the euro area," Working Paper Series 2016, European Central Bank.
  49. Moratis, Georgios & Sakellaris, Plutarchos, 2021. "Measuring the systemic importance of banks," Journal of Financial Stability, Elsevier, vol. 54(C).
  50. Niccolò Battistini & Marco Pagano & Saverio Simonelli, 2014. "Systemic risk, sovereign yields and bank exposures in the euro crisis [Real effects of the sovereign debt crises in Europe: evidence from syndicated loans]," Economic Policy, CEPR;CES;MSH, vol. 29(78), pages 203-251.
  51. Joshua Aizenman & Yothin Jinjarak & Donghyun Park, 2016. "Fundamentals and Sovereign Risk of Emerging Markets," Pacific Economic Review, Wiley Blackwell, vol. 21(2), pages 151-177, May.
  52. J. Alsubaiei, Bader & Calice, Giovanni & Vivian, Andrew, 2021. "Sovereign CDS and mutual funds: Global evidence," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 73(C).
  53. Bergman, U. Michael & Hutchison, Michael M. & Hougaard Jensen, Svend E., 2019. "European policy and markets: Did policy initiatives stem the sovereign debt crisis in the euro area?," European Journal of Political Economy, Elsevier, vol. 57(C), pages 3-21.
  54. Binici, Mahir & Hutchison, Michael & Miao, Evan Weicheng, 2020. "Market price effects of agency sovereign debt announcements: Importance of prior credit states," International Review of Economics & Finance, Elsevier, vol. 69(C), pages 769-787.
  55. Kose, M. Ayhan & Kurlat, Sergio & Ohnsorge, Franziska & Sugawara, Naotaka, 2022. "A cross-country database of fiscal space," Journal of International Money and Finance, Elsevier, vol. 128(C).
  56. Bostanci, Gorkem & Yilmaz, Kamil, 2020. "How connected is the global sovereign credit risk network?," Journal of Banking & Finance, Elsevier, vol. 113(C).
  57. Stephanie Collet & Kim Oosterlinck, 2019. "Denouncing Odious Debts," Journal of Business Ethics, Springer, vol. 160(1), pages 205-223, November.
  58. Chang, Jeffery (Jinfan) & Du, Huancheng & Lou, Dong & Polk, Christopher, 2022. "Ripples into waves: Trade networks, economic activity, and asset prices," Journal of Financial Economics, Elsevier, vol. 145(1), pages 217-238.
  59. Johannes W. Fedderke, 2020. "Is the Phillips curve framework still useful for understanding inflation dynamics in South Africa," Working Papers 10142, South African Reserve Bank.
  60. Eling, Martin & Jia, Ruo, 2018. "Business failure, efficiency, and volatility: Evidence from the European insurance industry," International Review of Financial Analysis, Elsevier, vol. 59(C), pages 58-76.
  61. Liu, Feng & Kalotay, Egon & Trück, Stefan, 2018. "Assessing sovereign default risk: A bottom-up approach," Economic Modelling, Elsevier, vol. 70(C), pages 525-542.
  62. Del Brio, Esther B. & Mora-Valencia, Andrés & Perote, Javier, 2017. "The kidnapping of Europe: High-order moments' transmission between developed and emerging markets," Emerging Markets Review, Elsevier, vol. 31(C), pages 96-115.
  63. Gibson, Heather D. & Hall, Stephen G. & Tavlas, George S., 2014. "Fundamentally Wrong: Market Pricing of Sovereigns and the Greek Financial Crisis," Journal of Macroeconomics, Elsevier, vol. 39(PB), pages 405-419.
  64. Bayer, Christian & Kim, Chi Hyun & Kriwoluzky, Alexander, 2018. "The term structure of redenomination risk," CEPR Discussion Papers 12965, C.E.P.R. Discussion Papers.
  65. Ingo G. Bordon & Kai D. Schmid & Michael Schmidt, 2014. "Hypnosis Before Wake-up Call?! The Revival of Sovereign Credit Risk Perception in the EMU-Crisis," CESifo Working Paper Series 4946, CESifo.
  66. Stavros E. Arvanitis & Theodoros V. Stamatopoulos & Maria Chatzimarkaki, 2017. "Cash and Ownership on Firms Market Value: Evidence from Greek Panel Data," International Journal of Economics & Business Administration (IJEBA), International Journal of Economics & Business Administration (IJEBA), vol. 0(1), pages 70-91.
  67. Daria Onori, 2013. "Optimal Growth under Flow-Based Collaterals," Working Papers halshs-00824672, HAL.
  68. Chiarella, Carl & ter Ellen, Saskia & He, Xue-Zhong & Wu, Eliza, 2015. "Fear or fundamentals? Heterogeneous beliefs in the European sovereign CDS market," Journal of Empirical Finance, Elsevier, vol. 32(C), pages 19-34.
  69. 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.
  70. De Bruyckere, Valerie & Gerhardt, Maria & Schepens, Glenn & Vander Vennet, Rudi, 2013. "Bank/sovereign risk spillovers in the European debt crisis," Journal of Banking & Finance, Elsevier, vol. 37(12), pages 4793-4809.
  71. Stefan Eichler, 2017. "How Do Political Factors Shape the Bank Risk–Sovereign Risk Nexus in Emerging Markets?," Review of Development Economics, Wiley Blackwell, vol. 21(3), pages 451-474, August.
  72. Wisniewski, Tomasz Piotr & Lambe, Brendan John, 2015. "Does economic policy uncertainty drive CDS spreads?," International Review of Financial Analysis, Elsevier, vol. 42(C), pages 447-458.
  73. Kalbaska, A. & Gątkowski, M., 2012. "Eurozone sovereign contagion: Evidence from the CDS market (2005–2010)," Journal of Economic Behavior & Organization, Elsevier, vol. 83(3), pages 657-673.
  74. Hippolyte Wenéyam Balima & Jean‐Louis Combes, 2019. "Remittances and bond yield spreads in emerging market economies," Review of International Economics, Wiley Blackwell, vol. 27(1), pages 448-467, February.
  75. Ioana-Laura Țibulcă, 2021. "Debt Sustainability: Can EU Member States Use Environmental Taxes to Regain Fiscal Space?," Sustainability, MDPI, vol. 13(11), pages 1-15, May.
  76. Guillaume Belly & Lukas Boeckelmann & Carlos Mateo Caicedo Graciano & Alberto Di Iorio & Klodiana Istrefi & Vasileios Siakoulis & Arthur Stalla‐Bourdillon, 2023. "Forecasting sovereign risk in the Euro area via machine learning," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 42(3), pages 657-684, April.
  77. Rodríguez-Caballero, Carlos Vladimir & Caporin, Massimiliano, 2019. "A multilevel factor approach for the analysis of CDS commonality and risk contribution," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 63(C).
  78. Heinemann, Friedrich & Osterloh, Steffen & Kalb, Alexander, 2014. "Sovereign risk premia: The link between fiscal rules and stability culture," Journal of International Money and Finance, Elsevier, vol. 41(C), pages 110-127.
  79. Jens Klose & Benjamin Weigert, 2014. "Sovereign Yield Spreads During the Euro Crisis: Fundamental Factors Versus Redenomination Risk," International Finance, Wiley Blackwell, vol. 17(1), pages 25-50, March.
  80. Le, Chau & Dickinson, David & Le, Anh, 2022. "Sovereign risk spillovers: A network approach," Journal of Financial Stability, Elsevier, vol. 60(C).
  81. Beck, Roland & Ferrucci, Gianluigi & Hantzsche, Arno & Rau-Göhring, Matthias, 2017. "Determinants of sub-sovereign bond yield spreads – The role of fiscal fundamentals and federal bailout expectations," Journal of International Money and Finance, Elsevier, vol. 79(C), pages 72-98.
  82. Guillaume Horny & Simone Manganelli & Benoit Mojon, 2018. "Measuring Financial Fragmentation in the Euro Area Corporate Bond Market," JRFM, MDPI, vol. 11(4), pages 1-19, October.
  83. Kobielarz, Michal, 2018. "The economics of monetary unions," Other publications TiSEM b0293536-68ec-4905-bffd-6, Tilburg University, School of Economics and Management.
  84. Lothian, James R., 2014. "Monetary policy and the twin crises," Journal of International Money and Finance, Elsevier, vol. 49(PB), pages 197-210.
  85. Bruno Martorano, 2015. "Lessons from the recent economic crisis: the Australian household stimulus package," International Review of Applied Economics, Taylor & Francis Journals, vol. 29(3), pages 309-327, May.
  86. Umurcan Polat, 2017. "Regime Switching Determinants of Sovereign CDS Spreads: Evidence from Turkey," Eurasian Journal of Economics and Finance, Eurasian Publications, vol. 5(4), pages 124-141.
  87. repec:hal:spmain:info:hdl:2441/6b3bdv9unt9mspi3ri2ff917d6 is not listed on IDEAS
  88. Paolo Canofari & Giancarlo Marini & Giovanni Piersanti, 2015. "Expectations and systemic risk in EMU government bond spreads," Quantitative Finance, Taylor & Francis Journals, vol. 15(4), pages 711-724, April.
  89. Gibran Watfe, 2015. "The Impact of the ECB's Asset Purchase Programmes on Sovereign Bond Spreads in the Euro Area," Bruges European Economic Research Papers 35, European Economic Studies Department, College of Europe.
  90. Aizenman, Joshua, 2012. "The Euro and the global crises: finding the balance between short term stabilization and forward looking reforms," Santa Cruz Department of Economics, Working Paper Series qt8mc1z1wc, Department of Economics, UC Santa Cruz.
  91. Malliaropulos, Dimitris & Migiakis, Petros, 2018. "The re-pricing of sovereign risks following the Global Financial Crisis," Journal of Empirical Finance, Elsevier, vol. 49(C), pages 39-56.
  92. 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.
  93. Wang, Yabin & Wu, Sharon Xiaohui, 2023. "Local guarantees and SOE bond pricing in China," China Economic Review, Elsevier, vol. 78(C).
  94. Petra Palic & Petra Posedel Simovic & Maruska Vizek, 2017. "The Determinants of Country Risk Premium Volatility: Evidence from a Panel VAR Model," Croatian Economic Survey, The Institute of Economics, Zagreb, vol. 19(1), pages 37-66, June.
  95. Piotr Ciżkowicz & Grzegorz Parosa & Andrzej Rzońca, 2022. "Fiscal tensions and risk premium," Empirica, Springer;Austrian Institute for Economic Research;Austrian Economic Association, vol. 49(3), pages 833-896, August.
  96. Benbouzid, Nadia & Mallick, Sushanta K. & Sousa, Ricardo M., 2017. "An international forensic perspective of the determinants of bank CDS spreads," Journal of Financial Stability, Elsevier, vol. 33(C), pages 60-70.
  97. Wu, Eliza & Erdem, Magdalena & Kalotychou, Elena & Remolona, Eli, 2016. "The anatomy of sovereign risk contagion," Journal of International Money and Finance, Elsevier, vol. 69(C), pages 264-286.
  98. Buse, Rebekka & Schienle, Melanie & Urban, Jörg, 2022. "Assessing the impact of policy and regulation interventions in European sovereign credit risk networks: What worked best?," Journal of International Economics, Elsevier, vol. 139(C).
  99. Peat, Maurice & Svec, Jiri & Wang, Jue, 2015. "The effects of fiscal opacity on sovereign credit spreads," Emerging Markets Review, Elsevier, vol. 24(C), pages 34-45.
  100. Christoph Große Steffen & Maximilian Podstawski, 2016. "Ambiguity and Time-Varying Risk Aversion in Sovereign Debt Markets," Discussion Papers of DIW Berlin 1602, DIW Berlin, German Institute for Economic Research.
  101. Eleftherios Goulas & Athina Zervoyianni, 2013. "Growth, Deficits and Uncertainty: Theoretical Aspects and Empirical Evidence," Working Paper series 53_13, Rimini Centre for Economic Analysis.
  102. Viziniuc, Mădălin, 2021. "Winners and losers of central bank foreign exchange interventions," Economic Modelling, Elsevier, vol. 94(C), pages 748-767.
  103. repec:hal:spmain:info:hdl:2441/7n3slb7mj68uoa4brsrd6gb2oa is not listed on IDEAS
  104. Aizenman, Joshua & Jinjarak, Yothin, 2011. "The Fiscal Stimulus of 2009-10: Trade Openness, Fiscal Space and Exchange Rate Adjustment," Santa Cruz Department of Economics, Working Paper Series qt1vm5d1p4, Department of Economics, UC Santa Cruz.
  105. Malliaropulos, Dimitris & Migiakis, Petros, 2023. "A global monetary policy factor in sovereign bond yields," Journal of Empirical Finance, Elsevier, vol. 70(C), pages 445-465.
  106. Klose, Jens & Weigert, Benjamin, 2012. "Determinants of sovereign yield spreads during the Euro-crisis: Fundamental factors versus systemic risk," Working Papers 07/2012, German Council of Economic Experts / Sachverständigenrat zur Begutachtung der gesamtwirtschaftlichen Entwicklung.
  107. Manuel Buchholz & Lena Tonzer, 2016. "Sovereign Credit Risk Co-Movements in the Eurozone: Simple Interdependence or Contagion?," International Finance, Wiley Blackwell, vol. 19(3), pages 246-268, December.
  108. Cumhur ÞAHÝN & Hüseyin ALTAY, 2016. "Examination of the Relationship between Turkey’s Credit Default Swap (CDS) Points and Unemployment," Eurasian Business & Economics Journal, Eurasian Academy Of Sciences, vol. 4(4), pages 52-67, January.
  109. Fong, Tom Pak Wing & Li, Ka-Fai & Fu, John, 2018. "Accounting for sovereign tail risk in emerging economies: The role of global and domestic risk factors," Emerging Markets Review, Elsevier, vol. 34(C), pages 98-110.
  110. María Cantero‐Saiz & Sergio Sanfilippo‐Azofra & Begoña Torre‐Olmo, 2022. "Sovereign Risk and the Bank Lending Channel: Differences across Countries and the Effects of the Financial Crisis," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 54(1), pages 285-312, February.
  111. Petra Palic & Petra Posedel Simovic & Maruska Vizek, 2015. "The Determinants of Country´s Risk Premium Volatility: Evidence from Panel VAR Model," Working Papers 1505, The Institute of Economics, Zagreb.
  112. Marcio Genovevo da Costa & Nils Donner, 2016. "Cointegration between Equity- and Agricultural Markets: Implications for Portfolio Diversification," Journal of Management and Sustainability, Canadian Center of Science and Education, vol. 6(1), pages 24-44, March.
  113. Susanna Saroyan & Lilit Popoyan, 2017. "Bank-sovereign ties against interbank market integration: the case of the Italian segment," LEM Papers Series 2017/02, Laboratory of Economics and Management (LEM), Sant'Anna School of Advanced Studies, Pisa, Italy.
  114. Antonakakis, Nikolaos & Vergos, Konstantinos, 2013. "Sovereign bond yield spillovers in the Euro zone during the financial and debt crisis," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 26(C), pages 258-272.
  115. Christoph Schmidt & Benjamin Weigert, 2013. "Weathering the crisis and beyond: perspectives for the Euro area," International Tax and Public Finance, Springer;International Institute of Public Finance, vol. 20(4), pages 564-595, August.
  116. Miroslav Klucik, 2015. "Fiscal Adjustment in Slovakia: Findings from a Medium-Scale Econometric Model," Working Papers Working Paper No. 1/2015, Council for Budget Responsibility.
  117. Bruneau, Catherine & Delatte, Anne-Laure & Fouquau, Julien, 2014. "Was the European sovereign crisis self-fulfilling? Empirical evidence about the drivers of market sentiments," Journal of Macroeconomics, Elsevier, vol. 42(C), pages 38-51.
  118. Raouf Boucekkine & Aude Pommeret & Fabien Prieur, 2013. "On the timing and optimality of capital controls: Public expenditures, debt dynamics and welfare," International Journal of Economic Theory, The International Society for Economic Theory, vol. 9(1), pages 101-112, March.
  119. De Grauwe, Paul & Ji, Yuemei, 2022. "The fragility of the Eurozone: Has it disappeared?," Journal of International Money and Finance, Elsevier, vol. 120(C).
  120. Canofari Paolo & Di Bartolomeo Giovanni & Piersanti Giovanni, 2013. "Theory and practice of contagion in monetary unions. Domino effects in EU Mediterranean countries: The case of Greece, Italy and Spain," wp.comunite 0098, Department of Communication, University of Teramo.
  121. El Abed, Riadh & Zardoub, Amna, 2017. "Time varying and asymmetric effect between sovereign credit market and financial market: The asymmetric DCC model," Economics Discussion Papers 2017-97, Kiel Institute for the World Economy (IfW Kiel).
  122. Tomasz Piotr Wisniewski & Peter M. Jackson, 2021. "Government debt expansion and stock returns," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 26(4), pages 5017-5030, October.
  123. Beirne, John & Renzhi, Nuobu & Volz, Ulrich, 2021. "Feeling the heat: Climate risks and the cost of sovereign borrowing," International Review of Economics & Finance, Elsevier, vol. 76(C), pages 920-936.
  124. Borri, Nicola, 2019. "Redenomination-risk spillovers in the Eurozone," Economics Letters, Elsevier, vol. 174(C), pages 173-178.
  125. C. Ciocirlan & M. Nițoi, 2023. "Sovereign risk connectedness: the impact of ECB’s policy announcements in Central and Eastern Europe," Empirica, Springer;Austrian Institute for Economic Research;Austrian Economic Association, vol. 50(4), pages 1025-1054, November.
  126. Ordoñez-Callamand, Daniel & Gomez-Gonzalez, Jose Eduardo & Melo-Velandia, Luis Fernando, 2017. "Sovereign default risk in OECD countries: Do global factors matter?," The North American Journal of Economics and Finance, Elsevier, vol. 42(C), pages 629-639.
  127. Binici, Mahir & Hutchison, Michael, 2018. "Do credit rating agencies provide valuable information in market evaluation of sovereign default Risk?," Journal of International Money and Finance, Elsevier, vol. 85(C), pages 58-75.
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