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Jose Tomás Labarca Pinto
Pág. Finance an - 67
Review of Jerome Roos, Why Not Default? The Political Economy of Sovereign Debt, Princeton, Princeton University Press, 2019, 416 pp., £34 (hbk), ISBN 978-0-691-18010-6
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Morgan Escalera and Wayne Tarrant
In the wake of the 2008 financial crisis, the Financial Stability Board (FSB) and the Basel Committee on Banking Supervision (BCBS) created a list of systemically important financial institutions (SIFIs) with the intention of determining which financial ...
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Ani Qankova Stoykova, Mariya Georgieva Paskaleva, Dinko Zhulien Stoykov
Pág. 129 - 153
This paper examines the impact of sentiment indicators on the financial market dynamics and default probability. First, we use GARCH models and Granger Causality Test in order to test the relationship between sentiment indicators and capital market dynam...
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Mariya Georgieva Paskaleva
Pág. 81 - 113
This study represents the increasing significance of credit default swaps for European capital markets, namely Germany, France, Belgium, Ireland, Italy, Portugal, Spain, Greece, Bulgaria and Romania. The period of analysis is between 2003- 2016 years. Af...
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Vasile George MARICA,Lucian Claudiu ANGHEL
Pág. 339
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Annika Westphal
This paper draws on network theory to investigate European banks? sovereign debt exposures. Banks? holdings of sovereign debt build a network of financial linkages with European countries that exhibits a long-tail distribution of node degrees. A highly c...
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Paulo Pereira Da Silva
This paper addresses the relationship between stock markets and credit default swaps (CDS) markets. In particular, I aim to gauge if the co-movement between stock prices and sovereign CDS spreads increases with the deterioration of the credit quality of ...
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Shaen Corbet
Pág. 83 - 92
This research examines the effects of sovereign downgrades on European financial markets between 2005 and 2012. Vector Autoregression (VAR) techniques are used to investigate the presence of contagion effects after a sovereign downgrade across equity ind...
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Cristina Arellano and Ananth Ramanarayanan
Pág. 187 - 232
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Franklin de O. Gonçalves,Luiz Otavio Calôba
Pág. pp. 89 - 112
Brady bond securities represent a substantial fraction of emerging markets countries internationally tradable sovereign debt. The credit risk spread above and beyond the U.S. treasury curve for these securities is usually large in size and volatility. Mo...
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