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Working Paper Series The determinants of sovereign bond yield spreads in the EMU António Afonso, Michael G. Arghyrou, and Alexandros Kontonikas Note: This Working Paper…

Economic Papers are written by the Staff of the Directorate-General for Economic and Financial Affairs, or by experts working in association with them. The Papers are intended…

Determinants of Sovereign Bond Yield Spreads in the EMU An Optimal Currency Area Perspective Mauro Costantini∗ Brunel University UK Matteo Fragetta† University of Salerno…

7/31/2019 Sovereign Spreads 1/53Fiscal Policy, Interest Rates and Risk Premia in Open EconomySalvatore DellErba and Sergio SolaThe Graduate Institute of International and…

WP/13/84 Italian Sovereign Spreads: Their Determinants and Pass-through to Bank Funding Costs and Lending Conditions Edda Zoli © 2013 International Monetary Fund WP/13/…

7/29/2019 WP Sovereign Spreads Global Risk 1/332011/02Sovereign Spreads: Global Risk Aversion,Contagion or Fundamentals?Carlos Caceres, Vincenzo Guzzo andMiguel SegovianoCNBV…

Microsoft Word - Fiscal opacity paper v6Jue Wang*, Jiri Svec and Maurice Peat School of Business, This version: December 2012 Abstract     *Corresponding author

HOW SOVEREIGN IS SOVEREIGN CREDIT RISK? By FRANCIS A. LONGSTAFF, JUN PAN, LASSE H. PEDERSEN, AND KENNETH J. SINGLETON∗ We study the nature of sovereign credit risk using…

Page 1 of 23 What Drives Movements in Sovereign CDS Spreads? By JOSEPH A. BOGACZYK, ASEEM GROVER, AND MEILINDA HUANG Abstract We primarily aim to find the macroeconomic factors…

DETERMINANTS OF SPREADS OF ROMANIAN SOVEREIGN BONDS - an application on the EMBIG spreads – Student: BERBECARU CLAUDIA-FLORIANA Supervisor: Professor MOISĂ ALTĂR The…

Sovereign, Bank and Insurance Credit Spreads: Connectedness and System Networks Monica Billio†, Mila Getmansky‡, Dale Gray§, Andrew W. Lo¶, Robert C. Mertonkand…

1 A Work Project presented as part of the requirements for the Award of a Masters Degree in Economics from the NOVA - School of Business and Economics. Government Bond Yield

1 DOCUMENTOS DE ECONOMÍA Y FINANZAS INTERNACIONALES Working Papers on International Economics and Finance DEFI 15-02 February 2015 Financial stress transmission in EMU sovereign…

The information content of Hungarian sovereign CDS spreadssovereign CDS spreads sovereign CDS spreads * Cut-off date for data: June 2008. The views expressed here are those

spreads for PIIGS - A macroeconomic approach ABSTRACT This study examines the effects of changes in macroeconomic variables on sovereign CDS spreads for the countries within

In-Sample and Out-of-Sample Predictability∗ Ana-Maria Fuertes ‡ January 17, 2017 Abstract This paper investigates the quarter-ahead predictability of Brazil,

Sovereign, Bank and Insurance Credit Spreads: Connectedness and System Networks Monica Billio† , Dale Gray§, Andrew W. Lo¶, Mila Getmansky‡ , Robert C. Mertonkand…

Sovereign Spreads: Global Risk Aversion, Contagion or Fundamentals? Carlos Caceres, Vincenzo Guzzo and Miguel Segoviano1 1 Director General of Risk Analysis and Quantitative…

Microsoft Word - 20103.- Documents de Treball IREA ..................................................................................... 6 4.- Altres documents de treball

1 Financial stress transmission in EMU sovereign bond markets’ volatility: a connectedness analysis. Fernando Fernández-Rodríguez a , Marta Gómez-Puig b and Simón Sosvilla-Rivero…