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Alejandro Arahuetes García, Gonzalo Gómez Bengoechea
Pág. 79 - 111
This paper provides an empirical analysis of the Macroeconomic ImbalanceProcedure (MIP). It explores the relationship between sovereign bond yieldsspreads and the variables contained in the MIP scoreboard using quantileregressions. Results suggest that M...
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Carlo Cottarelli,Laura Jaramillo
Pág. 25
Implementation of fiscal consolidation by advanced economies in coming years needs to take into account the short and long-run interactions between economic growth and fiscal policy. Many countries must reduce high public debt to GDP ratios that penalize...
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Carlo Cottarelli,Laura Jaramillo
Pág. 25
Implementation of fiscal consolidation by advanced economies in coming years needs to take into account the short and long-run interactions between economic growth and fiscal policy. Many countries must reduce high public debt to GDP ratios that penalize...
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Katia Rocha,Ajax Moreira
Pág. 31 - 48
Country risk or sovereign spreads affect directly the investment of companies and sovereigns, being an important figure to domestic interest rates and to economic growth. This paper analyzes the impact of fiscal policy on the determinants of the sovereig...
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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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Guglielmo D?Amico, Philippe Regnault, Stefania Scocchera and Loriano Storchi
In this paper, we apply information theory measures and Markov processes in order to analyse the inequality in the distribution of the financial risk in a pool of countries. The considered financial variables are sovereign credit ratings and interest rat...
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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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Shaen Corbet
Pág. 217 - 230
This research constructs and develops a financial stress index based on European financial markets. The integration of numerous sovereign states has created difficulty identifying stress in any one single financial component, but incorporating twenty-thr...
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