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The ECB?s Financial Stability impact on Credit Default Swaps Market

Author

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  • Georgios Alexopoulos

    (University of Peloponnese, Paris)

Abstract

This paper studies the value of ECB?s announcement and the impact on Stock and Credit Default Swaps Market during 2008?2018.We examine the relationship between ECB announcements, and systematic risk and unsystematic risk of 29 European countries? financial markets through the CAPM regression. Those 29 countries divided into 3 clusters of liquid markets, accordingly the experienced stress during the sovereign debt crisis and their Liquidity Coverage Ratio (LCR). The results indicate that ECB?s announcements tend to show more impact on stock markets than CDS markets especially in 1st cluster of liquid market. Furthermore, these two types of financial markets in 29 European countries exhibit more significant market reaction to Financial Sector news and Money Market news while Financial Stability news and Monetary Policy bring more risk and volatility to 2 and 3 cluster of liquid markets. We found that there is a 3 clusters of liquid markets so that in turn reshapes an unequal distribution of systemic risk and help the spread of a financial crisis. The results also reveal financial markets of Finland, Sweden, Austria, Ireland, Spain and Turkey take on more risk and volatility than other sample countries when ECB announcements published.

Suggested Citation

  • Georgios Alexopoulos, 2022. "The ECB?s Financial Stability impact on Credit Default Swaps Market," Proceedings of Economics and Finance Conferences 13015572, International Institute of Social and Economic Sciences.
    • Handle: RePEc:sek:iefpro:13015572
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    File URL: https://iises.net/proceedings/16th-economics-finance-conference-prague/table-of-content/detail?cid=130&iid=001&rid=15572
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    More about this item

    Keywords

    European Central Bank; Investment; Monetary Policy; Announcements;
    All these keywords.

    JEL classification:

    • G21 - Financial Economics - - Financial Institutions and Services - - - Banks; Other Depository Institutions; Micro Finance Institutions; Mortgages
    • O11 - Economic Development, Innovation, Technological Change, and Growth - - Economic Development - - - Macroeconomic Analyses of Economic Development
    • E17 - Macroeconomics and Monetary Economics - - General Aggregative Models - - - Forecasting and Simulation: Models and Applications

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