Mispricing of Sovereign Risk and Macroeconomic Stability in the Eurozone*
نویسندگان
چکیده
منابع مشابه
Mispricing of Sovereign Risk and Multiple Equilibria in the Eurozone
We find evidence that a significant part of the surge in the spreads of the PIGS countries in the Eurozone during 2010-11 was disconnected from underlying increases in the debt to GDP ratios, and was the result of negative market sentiments that became very strong since the end of 2010. We also find evidence that after years of neglecting high government debt, investors became increasingly worr...
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Sovereign risk premia have risen sharply in several European countries, contributed to increased credit spreads in the private sector. If monetary policy cannot offset these credit spreads because it is constrained by the zero lower bound, sovereign risk threatens macroeconomic stability: private-sector beliefs of a weakening economy may become self-fulfilling. In this paper, we put forward a t...
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The roots of the Euro area crisis can be traced back to at least the summer of 2007. Although not picked up by the credit rating agencies until much later, the probability of default on sovereign debt increased in parallel with clear macroeconomic misalignments. These misalignments include recession-triggered budget deficits, bailout-motivated fiscal measures,1 as well as country-specific strat...
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Article history: Received 11 September 2014 Received in revised form 17 April 2015 Accepted 25 April 2015 Available online 2 May 2015 Westudy the impact of sovereign risk on the credit risk of the non-financial corporate sector in the Eurozone using credit default swap data. We show that an increase in sovereign credit spreads is associated with a statistically and economically significant incr...
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ژورنال
عنوان ژورنال: JCMS: Journal of Common Market Studies
سال: 2012
ISSN: 0021-9886
DOI: 10.1111/j.1468-5965.2012.02287.x