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Displaying results 1 to 4 of 4.

  1. Sovereign contagion in Europe
    evidence from the CDS market
    Author: Manasse, Paolo; Zavalloni, Luca
    Published: [2013]
    Publisher:  IGIER, Università Bocconi, Milano, Italy

    Location:
    ZBW - Leibniz-Informationszentrum Wirtschaft, Standort Kiel
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    Source: Union catalogues
    Language: English
    Media type: Book
    Format: Online
    Edition: This version: January 18, 2013
    Series: Working paper series / IGIER ; n. 471
    Subjects: Länderrisiko; Ansteckungseffekt; Kreditderivat; Eurozone
    Scope: 1 Online-Ressource (circa 42 Seiten), Illustrationen
  2. Sovereign contagion in Europe
    evidence from the CDS market
    Author: Manasse, Paolo; Zavalloni, Luca
    Published: February 14, 2013
    Publisher:  Alma Mater Studiorum - Università di Bologna, Department of Economics, Bologna, Italy

    This paper addresses the following questions. Is there evidence of financial contagion in the Eurozone? To what extent a country's vulnerability to contagion depends on "fundamentals" as opposed the government's "credibility"? We look at the... more

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    Staats- und Universitätsbibliothek Bremen
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    Location:
    ZBW - Leibniz-Informationszentrum Wirtschaft, Standort Kiel
    Signature:
    DS 566 (863)
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    This paper addresses the following questions. Is there evidence of financial contagion in the Eurozone? To what extent a country's vulnerability to contagion depends on "fundamentals" as opposed the government's "credibility"? We look at the empirical evidence on European sovereigns CDS spreads and estimate an econometric model where a crucial role is played by time varying parameters. We model CDS spread changes at country level as reflecting three different factors: a Global sovereign risk factor, a European sovereign risk factor and a Financial intermediaries risk factor. Our main findings are as follows. First, Unlike the US subprime crisis which affected all European sovereign risks, the Greek crisis is largely a matter concerning the Euro Zone. Second, differences in vulnerability to contagion within the Eurozone are even more remarkable: the core Eurozone members become less vulnerable to EUZ contagion, possibly due to a safe-heaven effect, while peripheric countries become more vulnerable. Finally, market fundamentals go a long way in explaining these differences: they jointly explain between 54 and 80% of the cross-country variation in idiosyncratic risks and in the vulnerability to contagion, largely supporting the "wake-up call" hypothesis according to which market participants become more wary of market fundamentals during financial crises.

     
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    46
    Source: Union catalogues
    Language: English
    Media type: Book
    Format: Online
    Other identifier:
    hdl: 10419/159702
    Series: Working paper DSE / Department of Economics, Università di Bologna ; no 863
    Scope: 1 Online-Ressource (circa 42 Seiten), Illustrationen
  3. Rightsizing bank capital for small, open economies
    Author: McInerney, Niall; O'Brien, Martin; Wosser, Michael; Zavalloni, Luca
    Published: [2022]
    Publisher:  [Central Bank of Ireland], Dublin, Ireland

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    Location:
    ZBW - Leibniz-Informationszentrum Wirtschaft, Standort Kiel
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    VS 548
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    Source: Union catalogues
    Language: English
    Media type: Book
    Format: Online
    Series: Research technical paper / Central Bank of Ireland ; vol. 2022, no. 04
    Subjects: optimal bank capital; macroprudential policy; macro-financial structure; systemic risk; financial crises; financial regulation
    Scope: 1 Online-Ressource (circa 35 Seiten), Illustrationen
  4. Dynamic fiscal limits and monetary-fiscal policy interactions
    Author: Battistini, Niccolò; Callegari, Giovanni; Zavalloni, Luca
    Published: [2019]
    Publisher:  European Central Bank, Frankfurt am Main, Germany

    This paper analyzes the impact of monetary policy on public debt sustainability through the lens of a general equilibrium model with fiscal limits. We find that the mere possibility of a binding ZLB may have detrimental effects on debt... more

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    Location:
    ZBW - Leibniz-Informationszentrum Wirtschaft, Standort Kiel
    Signature:
    DS 534
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    This paper analyzes the impact of monetary policy on public debt sustainability through the lens of a general equilibrium model with fiscal limits. We find that the mere possibility of a binding ZLB may have detrimental effects on debt sustainability, as a kink in the Laffer curve induces a dead-weight loss in the present discounted value of future primary surpluses. Moreover, debt sustainability improves with monetary policy activeness, that is, with the elasticity of the interest rate to changes in inflation and the output gap. On this basis, we assess the trade-off between economic stabilization and debt sustainability depending on the monetary policy environment. In normal times, large public spending shocks may engender perverse debt dynamics and cause economic contractions. At the ZLB, a muted trade-off between stabilization and sustainability instead expands the fiscal margin, especially if coupled with a commitment to a more active monetary policy during normal times.

     
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    Source: Union catalogues
    Language: English
    Media type: Ebook
    Format: Online
    ISBN: 9789289935302
    Other identifier:
    hdl: 10419/208302
    Series: Working paper series / European Central Bank ; no 2268 (April 2019)
    Scope: 1 Online-Ressource (circa 43 Seiten), Illustrationen