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Euro Area Sovereign Risk During the Crisis1

Euro Area Sovereign Risk During the Crisis1 »

Source: Euro Area Sovereign Risk During the Crisis

Volume/Issue: 2009/222

Series: IMF Working Papers

Author(s): Edda Zoli , and Silvia Sgherri

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 01 October 2009

ISBN: 9781451873696

Keywords: Sovereign Spreads, Global Risk Repricing, bond, sovereign bond, bonds,

While the use of public resources is critical to cushion the impact of the financial crisis on the euro-area economy, it is key that the entailed fiscal costs not be seen by markets as undermining fiscal sustainabi...

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...

Sovereign Spreads

Sovereign Spreads »

Source: 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

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 Eurozone Crisis

The Eurozone Crisis »

Source: The Eurozone Crisis : How Banks and Sovereigns Came to Be Joined At the Hip

Volume/Issue: 2011/269

Series: IMF Working Papers

Author(s): Damiano Sandri , and Ashoka Mody

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 01 November 2011

ISBN: 9781463925215

Keywords: sovereign spreads, stock market, eurozone, Bear Stearns, Anglo Irish, public debt, bonds, sovereign bond, debt ratios, Macroeconomic - Aspects Of Public Finance

We use the rise and dispersion of sovereign spreads to tell the story of the emergence and escalation of financial tensions within the eurozone. This process evolved through three stages. Following the onset of the...

Euro Area Sovereign Risk During the Crisis

Euro Area Sovereign Risk During the Crisis »

Volume/Issue: 2009/222

Series: IMF Working Papers

Author(s): Edda Zoli , and Silvia Sgherri

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 01 October 2009

DOI: http://dx.doi.org/10.5089/9781451873696.001

ISBN: 9781451873696

Keywords: Sovereign Spreads, Global Risk Repricing, bond, sovereign bond, bonds,

While the use of public resources is critical to cushion the impact of the financial crisis on the euro-area economy, it is key that the entailed fiscal costs not be seen by markets as undermining fiscal sustainabi...

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...

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 Eurozone Crisis
			: How Banks and Sovereigns Came to Be Joined At the Hip

The Eurozone Crisis : How Banks and Sovereigns Came to Be Joined At the Hip »

Volume/Issue: 2011/269

Series: IMF Working Papers

Author(s): Damiano Sandri , and Ashoka Mody

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 01 November 2011

DOI: http://dx.doi.org/10.5089/9781463925215.001

ISBN: 9781463925215

Keywords: sovereign spreads, stock market, eurozone, Bear Stearns, Anglo Irish, public debt, bonds, sovereign bond, debt ratios, Macroeconomic - Aspects Of Public Finance

We use the rise and dispersion of sovereign spreads to tell the story of the emergence and escalation of financial tensions within the eurozone. This process evolved through three stages. Following the onset of the...