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The determinants of sovereign credit spread changes in the Euro-zone

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  1. Freitag L., 2014. "Default probabilities, CDS premiums and downgrades : A probit-MIDAS analysis," Research Memorandum 038, Maastricht University, Graduate School of Business and Economics (GSBE).
  2. Aras, Osman Nuri & Öztürk, Mustafa, 2018. "The Effect of the Macroeconomic Determinants on Sovereign Credit Rating of Turkey," MPRA Paper 86642, University Library of Munich, Germany.
  3. Consoli, Sergio & Pezzoli, Luca Tiozzo & Tosetti, Elisa, 2021. "Emotions in macroeconomic news and their impact on the European bond market," Journal of International Money and Finance, Elsevier, vol. 118(C).
  4. Beaupain, Renaud & Girard, Alexandre, 2020. "The value of understanding central bank communication," Economic Modelling, Elsevier, vol. 85(C), pages 154-165.
  5. Comelli, Fabio, 2012. "Emerging market sovereign bond spreads: Estimation and back-testing," Emerging Markets Review, Elsevier, vol. 13(4), pages 598-625.
  6. Aktham Maghyereh & Hussein Abdoh, 2024. "Oil price uncertainly and sovereign credit risk in GCC countries: fresh evidence," International Economics and Economic Policy, Springer, vol. 21(2), pages 457-482, May.
  7. Wojciech Grabowski & Ewa Stawasz-Grabowska, 2019. "News Releases, Credit Rating Announcements, and Anti-Crisis Measures as Determinants of Sovereign Bond Spreads in the Peripheral Euro-Area Countries," Czech Journal of Economics and Finance (Finance a uver), Charles University Prague, Faculty of Social Sciences, vol. 69(2), pages 149-173, April.
  8. Stefano Neri & Tiziano Ropele, 2015. "The macroeconomic effects of the sovereign debt crisis in the euro area," Temi di discussione (Economic working papers) 1007, Bank of Italy, Economic Research and International Relations Area.
  9. Wellmann, Dennis & Trück, Stefan, 2018. "Factors of the term structure of sovereign yield spreads," Journal of International Money and Finance, Elsevier, vol. 81(C), pages 56-75.
  10. 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.
  11. Dewandaru, Ginanjar & Masih, Rumi & Masih, A. Mansur M., 2016. "What can wavelets unveil about the vulnerabilities of monetary integration? A tale of Eurozone stock markets," Economic Modelling, Elsevier, vol. 52(PB), pages 981-996.
  12. Renatas Kizys & Wael Rouatbi & Zaghum Umar & Adam Zaremba, 2024. "Air temperature and sovereign bond returns," Financial Markets, Institutions & Instruments, John Wiley & Sons, vol. 33(2), pages 179-209, May.
  13. Bernal, Oscar & Gnabo, Jean-Yves & Guilmin, Grégory, 2016. "Economic policy uncertainty and risk spillovers in the Eurozone," Journal of International Money and Finance, Elsevier, vol. 65(C), pages 24-45.
  14. Ren, Yi-Shuai & Klein, Tony & Jiang, Yong & Liu, Pei-Zhi & Weber, Olaf, 2025. "Dynamic connectedness between crude oil futures and energy industrial bond credit spread: Evidence from China," Energy Economics, Elsevier, vol. 143(C).
  15. Paweł Tobera, 2019. "Ocena ratingowa a koszt obsługi długu publicznego w krajach Europy Środkowo-Wschodniej w latach 2005–2017," Gospodarka Narodowa. The Polish Journal of Economics, Warsaw School of Economics, issue 1, pages 87-109.
  16. Antonakakis, Nikolaos & Christou, Christina & Cunado, Juncal & Gupta, Rangan, 2017. "Convergence patterns in sovereign bond yield spreads: Evidence from the Euro Area," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 49(C), pages 129-139.
  17. Hertrich, Markus, 2015. "Does Credit Risk Impact Liquidity Risk? Evidence from Credit Default Swap Markets," MPRA Paper 67837, University Library of Munich, Germany.
  18. Francisco López-Herrera & Domingo Rodríguez Benavides & César Gurrola Ríos, 2019. "Spillovers entre el S&Poor500 y los principales EMBIG latinoamericanos," Remef - Revista Mexicana de Economía y Finanzas Nueva Época REMEF (The Mexican Journal of Economics and Finance), Instituto Mexicano de Ejecutivos de Finanzas, IMEF, vol. 14(PNEA), pages 527-540, Agosto 20.
  19. Ginanjar Dewandaru & Rumi Masih & Mansur Masih, 2018. "Unraveling the Financial Contagion in European Stock Markets During Financial Crises: Multi-Timescale Analysis," Emerging Markets Finance and Trade, Taylor & Francis Journals, vol. 54(4), pages 859-880, March.
  20. Bernal, Oscar & Girard, Alexandre & Gnabo, Jean-Yves, 2016. "The importance of conflicts of interest in attributing sovereign credit ratings," International Review of Law and Economics, Elsevier, vol. 47(C), pages 48-66.
  21. Ribeiro, Pedro Pires & Cermeño, Rodolfo & Curto, José Dias, 2017. "Sovereign bond markets and financial volatility dynamics: Panel-GARCH evidence for six euro area countries," Finance Research Letters, Elsevier, vol. 21(C), pages 107-114.
  22. Rong-Xi Zhou & Ya-Hui Xiong & Tian-Hao Liu & Jing Li, 2019. "Macroeconomic Determinants of Credit Spreads: An Empirical Comparison between Chinese and American Corporate Bonds," Asian Economic and Financial Review, Asian Economic and Social Society, vol. 9(5), pages 604-616, May.
  23. Sabkha, Saker & de Peretti, Christian & Hmaied, Dorra, 2019. "Nonlinearities in the oil effects on the sovereign credit risk: A self-exciting threshold autoregression approach," Research in International Business and Finance, Elsevier, vol. 50(C), pages 106-133.
  24. Huyugüzel Kışla, Gül & Özlem Önder, A., 2018. "Spatial analysis of sovereign risks: The case of emerging markets," Finance Research Letters, Elsevier, vol. 26(C), pages 47-55.
  25. Telila, Henok Fasil, 2023. "Frontier markets sovereign risk: New evidence from spatial econometric models," Finance Research Letters, Elsevier, vol. 58(PD).
  26. Antonio Afonso & Mina Kazemi, 2018. "Euro Area Sovereign Yields and the Power of Unconventional Monetary Policy," Czech Journal of Economics and Finance (Finance a uver), Charles University Prague, Faculty of Social Sciences, vol. 68(2), pages 100-119, April.
  27. 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.
  28. Theodoros V. Stamatopoulos & Stavros E. Arvanitis & Dimitris M. Terzakis, 2017. "The risk of the sovereign debt default: the Eurozone crisis 2008–2013," Applied Economics, Taylor & Francis Journals, vol. 49(38), pages 3782-3796, August.
  29. Bessler, Wolfgang & Wolff, Dominik, 2014. "Hedging European government bond portfolios during the recent sovereign debt crisis," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 33(C), pages 379-399.
  30. Guidolin, Massimo & Pedio, Manuela, 2017. "Identifying and measuring the contagion channels at work in the European financial crises," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 48(C), pages 117-134.
  31. Jiang, Yong & Liu, Cenjie & Xie, Rui, 2021. "Oil price shocks and credit spread: Structural effect and dynamic spillover," The North American Journal of Economics and Finance, Elsevier, vol. 58(C).
  32. 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.
  33. Johannes W. Fedderke, 2021. "The South African–United States sovereign bond spread and its association with macroeconomic fundamentals," South African Journal of Economics, Economic Society of South Africa, vol. 89(4), pages 499-525, December.
  34. Guidolin, Massimo & Pedio, Manuela, 2017. "Identifying and measuring the contagion channels at work in the European financial crises," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 48(C), pages 117-134.
  35. 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.
  36. Ciżkowicz, Piotr & Ledóchowski, Michał & Rzońca, Andrzej, 2025. "Fiscal policy and government bond yields: New evidence from the EU," Economic Modelling, Elsevier, vol. 147(C).
  37. Go Tamakoshi & Shigeyuki Hamori, 2014. "Greek sovereign bond index, volatility, and structural breaks," Journal of Economics and Finance, Springer;Academy of Economics and Finance, vol. 38(4), pages 687-697, October.
  38. Tobera, Paweł, . "Ocena ratingowa a koszt obsługi długu publicznego w krajach Europy Środkowo-Wschodniej w latach 2005–2017," Gospodarka Narodowa-The Polish Journal of Economics, Szkoła Główna Handlowa w Warszawie / SGH Warsaw School of Economics, vol. 2019(1).
  39. Talat Afza & Mian Sajid Nazir, 2015. "Role of Institutional Shareholders’ Activism in Enhancing Firm Performance: The Case of Pakistan," Global Business Review, International Management Institute, vol. 16(4), pages 557-570, August.
  40. Henok Fasil Telila, 2024. "Frontier markets sovereign risk: New evidence from spatial econometric models," French Stata Users' Group Meetings 2024 10, Stata Users Group.
  41. Giovanni Dosi & Marcello Minenna & Andrea Roventini & Roberto Violi, 2021. "Making the Eurozone work: a risk-sharing reform of the European Stability Mechanism," Annals of Operations Research, Springer, vol. 299(1), pages 617-657, April.
  42. Theologos Dergiades & Costas Milas & Theodore Panagiotidis, 2015. "Tweets, Google trends, and sovereign spreads in the GIIPS," Oxford Economic Papers, Oxford University Press, vol. 67(2), pages 406-432.
  43. Arghyrou, Michael G. & Kontonikas, Alexandros, 2012. "The EMU sovereign-debt crisis: Fundamentals, expectations and contagion," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 22(4), pages 658-677.
  44. Magazzino, Cosimo, 2012. "Wagner versus Keynes: Public spending and national income in Italy," Journal of Policy Modeling, Elsevier, vol. 34(6), pages 890-905.
  45. Vu, Huong & Alsakka, Rasha & Gwilym, Owain ap, 2015. "The credit signals that matter most for sovereign bond spreads with split rating," Journal of International Money and Finance, Elsevier, vol. 53(C), pages 174-191.
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