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Italian Sovereign Spreads
			: Their Determinants and Pass-through to Bank Funding Costs and Lending Conditions

Italian Sovereign Spreads : Their Determinants and Pass-through to Bank Funding Costs and Lending Conditions »

Volume/Issue: 2013/84

Series: IMF Working Papers

Author(s): Edda Zoli

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 03 April 2013

DOI: http://dx.doi.org/10.5089/9781484357705.001

ISBN: 9781484357705

Keywords: Italian sovereign spreads, bank funding costs, lending conditions, bond, bonds, government bond, bond yields, bond spreads, Financial Markets and the Macroeconomy, Asset Pricing,

Volatility in Italian sovereign spreads has increased since mid-2011. This paper finds that news on the euro area debt crisis and country specific events were important drivers of sovereign spreads. Movements in so...

Pricing of Sovereign Credit Risk
			: Evidence From Advanced Economies During the Financial Crisis

Pricing of Sovereign Credit Risk : Evidence From Advanced Economies During the Financial Crisis »

Volume/Issue: 2012/24

Series: IMF Working Papers

Author(s): Emre Alper , Lorenzo Forni , and Marc Gerard

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 01 January 2012

DOI: http://dx.doi.org/10.5089/9781463931865.001

ISBN: 9781463931865

Keywords: bond, arbitrage, bonds, stock prices, Advanced Economies, Sovereign Spreads, Fiscal Risks,

We investigate the pricing of sovereign credit risk over the period 2008-2010 for selected advanced economies by examining two widely-used indicators: sovereign credit default swap (CDS) and relative asset swap (RA...

Safe Havens, Feedback Loops, and Shock Propagation in Global Asset Prices

Safe Havens, Feedback Loops, and Shock Propagation in Global Asset Prices »

Volume/Issue: 2014/81

Series: IMF Working Papers

Author(s): Franziska Ohnsorge , Marcin Wolski , and Yuanyan Zhang

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 09 May 2014

DOI: http://dx.doi.org/10.5089/9781484381588.001

ISBN: 9781484381588

Keywords: Feedback loops, Sovereigns, bond yields, bond, sovereign bond, bond yield, equity prices, General, Globalization: Finance,

We create a network of bilateral correlations of changes in sovereign bond yields and individual bank equity price changes since 2000. We extract some stylized facts from this network of asset price correlations an...

Sovereign Spreads
			: Global Risk Aversion, Contagion or Fundamentals?

Sovereign Spreads : Global Risk Aversion, Contagion or Fundamentals? »

Volume/Issue: 2010/120

Series: IMF Working Papers

Author(s): Miguel Segoviano Basurto , Carlos Caceres , and Vincenzo Guzzo

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 01 May 2010

DOI: http://dx.doi.org/10.5089/9781455200795.001

ISBN: 9781455200795

Keywords: Sovereign spreads, contagion, market price of risk, probability, bond, bonds, bond yields, probabilities, Financial Markets and the Macroeconomy, General Financial Markets: General (includes Measurement and Data)

Over the past year, euro area sovereign spreads have exhibited an unprecedented degree of volatility. This paper explores how much of these large movements reflected shifts in (i) global risk aversion (ii) country-...

The Risk Premiumon Italian Government Debt, 1976-1988

The Risk Premiumon Italian Government Debt, 1976-1988 »

Volume/Issue: 1990/38

Series: IMF Working Papers

Author(s): Carlo Cottarelli , and Mauro Mecagni

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 01 April 1990

DOI: http://dx.doi.org/10.5089/9781451977516.001

ISBN: 9781451977516

Keywords: bonds, bond, public debt, government bonds, government debt

This paper considers the behavior of the yield differential between government and nongovernment bonds in Italy between 1976 and 1988. It is shown that the trend increase of the differential observed in this period...

The Yield Curve and Real Activity

The Yield Curve and Real Activity »

Volume/Issue: 1993/19

Series: IMF Working Papers

Author(s): Zuliu Hu

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 01 March 1993

DOI: http://dx.doi.org/10.5089/9781451843705.001

ISBN: 9781451843705

Keywords: forecasting, stock price, stock prices, bonds, bond

The financial press frequently suggest that the shape of yield curve reflects information about the prospects of the economy. This paper attempts to formalize the link between the yield curve and the real economic...

Italian Sovereign Spreads

Italian Sovereign Spreads »

Source: Italian Sovereign Spreads : Their Determinants and Pass-through to Bank Funding Costs and Lending Conditions

Volume/Issue: 2013/84

Series: IMF Working Papers

Author(s): Edda Zoli

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 03 April 2013

ISBN: 9781484357705

Keywords: Italian sovereign spreads, bank funding costs, lending conditions, bond, bonds, government bond, bond yields, bond spreads, Financial Markets and the Macroeconomy, Asset Pricing,

Volatility in Italian sovereign spreads has increased since mid-2011. This paper finds that news on the euro area debt crisis and country specific events were important drivers of sovereign spreads. Movements in so...

Italy

Italy »

Source: Italy : Technical Note on Financial Risk Management and Supervision of Cassa Di Compensazione e Garanzia S.P.A.

Volume/Issue: 2013/351

Series: IMF Staff Country Reports

Author(s): International Monetary Fund. Monetary and Capital Markets Department

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 06 December 2013

ISBN: 9781475569711

Keywords: bonds, bond, financial resources, financial instruments, bond market

This Technical Note analyzes financial risk management and supervision of Cassa Di Compensazione e Garanzia S.P.A. (CC&G) in Italy. CC&G, the Italian central counterparty (CCP), is systemically important for the It...

Pricing of Sovereign Credit Risk

Pricing of Sovereign Credit Risk »

Source: Pricing of Sovereign Credit Risk : Evidence From Advanced Economies During the Financial Crisis

Volume/Issue: 2012/24

Series: IMF Working Papers

Author(s): Emre Alper , Lorenzo Forni , and Marc Gerard

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 01 January 2012

ISBN: 9781463931865

Keywords: bond, arbitrage, bonds, stock prices, Advanced Economies, Sovereign Spreads, Fiscal Risks,

We investigate the pricing of sovereign credit risk over the period 2008-2010 for selected advanced economies by examining two widely-used indicators: sovereign credit default swap (CDS) and relative asset swap (RA...

The Risk Premiumon Italian Government Debt, 1976-1988

The Risk Premiumon Italian Government Debt, 1976-1988 »

Source: The Risk Premiumon Italian Government Debt, 1976-1988

Volume/Issue: 1990/38

Series: IMF Working Papers

Author(s): Carlo Cottarelli , and Mauro Mecagni

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 01 April 1990

ISBN: 9781451977516

Keywords: bonds, bond, public debt, government bonds, government debt

This paper considers the behavior of the yield differential between government and nongovernment bonds in Italy between 1976 and 1988. It is shown that the trend increase of the differential observed in this period...