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Journal of Money, Credit and Banking, ISSN 0022-2879, 08/2018, Volume 50, Issue 5, pp. 857 - 891
The first Greek bailout on April 11, 2010 triggered a significant reevaluation of sovereign credit risk across Europe. We exploit this event to examine the... 
H81 | risk transmission | credit risk | Accounting | F34 | Finance | F36 | G12 | G15 | bailout | contagion | Greece | Economics and Econometrics | BANK | LIQUIDITY | DEBT CRISIS | EURO AREA | SPREADS | BUSINESS, FINANCE | EMERGING MARKETS | RATINGS | ECONOMICS | DEFAULT SWAP MARKET | Analysis | Externalities (Economics) | International finance | Bailouts
Journal Article
Economics Letters, ISSN 0165-1765, 01/2019, Volume 174, pp. 173 - 178
In this paper we use sovereign quanto-CDS spreads as proxy for redenomination-risk in the Eurozone, i.e., the risk of a sovereign default obtained by the... 
Quanto-CDS | Credit default swap | Redenomination risk | SYSTEMIC RISK | SOVEREIGN RISK | ECONOMICS | SPREADS | Economic models | Credit risk | Sovereign debt | Risk assessment | Credit default swaps
Journal Article
Journal of Money, Credit and Banking, ISSN 0022-2879, 12/2018, Volume 50, Issue 8, pp. 1901 - 1933
This paper shows that credit default swaps (CDS) can affect the type of debt firms issue. Firms face a trade‐off between investment scale and the cost of... 
D52 | D53 | E44 | G33 | G10 | G12 | investment | spillovers | default risk | D92 | collateral | credit derivatives | BUSINESS, FINANCE | MARKET | RISK | ECONOMICS | DEBT | DERIVATIVES | International finance | Credit default swaps | Collateralized debt obligations
Journal Article
The European Journal of Finance, ISSN 1351-847X, 11/2019, Volume 25, Issue 17, pp. 1765 - 1792
We analyse the total and directional spillovers across a set of financial institution systemic risk state variables: credit risk, real estate market risk,... 
Financial systemic risk state variables | spillover effects | G20 | credit default swaps | G01 | financial crisis | real estate risk | G15 | BUSINESS, FINANCE | LIQUIDITY | DETERMINANTS | MARKETS | CONTAGION | DYNAMICS | IMPULSE-RESPONSE ANALYSIS | Economic models | Financial institutions | Central banks | Risk exposure
Journal Article
Economics Letters, ISSN 0165-1765, 05/2017, Volume 154, pp. 92 - 95
Policy interventions are generally evaluated for their direct effectiveness. Little is known about their ability to persist over time and spill across... 
Cooperation | Minimum donation rule | Spillover effects | Rebates | Default | Fairness | Social norms | PRO-ENVIRONMENTAL BEHAVIOR | FIELD | DICTATOR GAMES | ECONOMICS | HEURISTICS | Climatic changes
Journal Article
Applied Economics, ISSN 0003-6846, 08/2018, Volume 50, Issue 36, pp. 3923 - 3936
This article studies volatility spill-over effects and market connectedness using daily data of credit default swap spreads for U.S. companies over a period... 
C13 | G13 | G12 | Credit default swap | global financial crisis | volatility spill-over effects | indirect financial linkages | MULTIVARIATE MODELS | GROWTH | STOCK MARKETS | ECONOMICS | IMPULSE-RESPONSE ANALYSIS | EQUITY | Services | Consumer goods | Volatility | Collateralized loan obligations | Economic conditions | Bond issues | International finance
Journal Article
Geneva Papers on Risk and Insurance: Issues and Practice, ISSN 1018-5895, 01/2018, Volume 43, Issue 1, pp. 72 - 96
We investigate cross-sector financial contagion over the period 2006-2014 for a sample of large European banks and insurers. We use CDS spreads and define... 
contagion | CDS spread | systemic risk | insurance companies | BUSINESS, FINANCE | IMPACT | SOVEREIGN | SECTOR | INSURERS | CREDIT RISK | CDS SPREADS | FINANCIAL CRISIS | Analysis | Insurance | Banking industry | Economic aspects | Risk management | Credit default swaps | Externalities (Economics) | Spread | Insurance industry
Journal Article
Management Science, ISSN 0025-1909, 3/2018, Volume 64, Issue 3, pp. 1396 - 1412
Journal Article
Journal of Banking and Finance, ISSN 0378-4266, 05/2014, Volume 42, Issue 1, pp. 134 - 153
In this paper we modify and extend the framework of to quantify spillovers between sovereign credit markets and banks in the euro area. Spillovers are... 
Impulse responses | Contagion | Systemic risk | Sovereign debt | Credit default swaps | BUSINESS, FINANCE | MULTIVARIATE MODELS | CRISIS | VOLATILITY SPILLOVERS | ECONOMICS | IMPULSE-RESPONSE ANALYSIS | CREDIT RISK
Journal Article
Economics Letters, ISSN 0165-1765, 05/2017, Volume 154, pp. 92 - 95
Policy interventions are generally evaluated for their direct effectiveness. Little is known about their ability to persist over time and spill across... 
Minimum donation rule | Cooperation | Spillover effects | Rebates | Default | Social norms | Fairness
Journal Article
Journal of International Money and Finance, ISSN 0261-5606, 05/2015, Volume 53, pp. 115 - 136
This paper studies spillovers across sovereign debt markets in the wake of sovereign rating changes. We compile an extensive dataset covering all announcements... 
International financial integration | Sovereign debt market | Credit rating agencies | Cross-border spillover effects | UNITED-STATES | LOCATION | AGENCIES | SPREADS | BUSINESS, FINANCE | IMPACT | INSTITUTIONS | DEFAULT SWAP | SOVEREIGN | NEWS | STOCK MARKETS | Evaluation | Computer services industry | Bonds | Credit ratings | Developing countries | Central banks | Securities | Credit market
Journal Article
Journal of International Money and Finance, ISSN 0261-5606, 05/2016, Volume 63, pp. 48 - 63
This research examines how a sovereign rating revision of one country influences the economic growth rates of other countries. Rating revisions have... 
Economic growth | Sovereign credit rating revision | Output spillover | FINANCIAL-MARKETS | TRADE | COUNTRIES | CONTAGION | CORRUPTION | DEBT | EMERGING ECONOMIES | BUSINESS, FINANCE | CRISIS | ECONOMIC-GROWTH | DEFAULT | Credit ratings
Journal Article
Management Science, ISSN 0025-1909, 10/2013, Volume 59, Issue 10, pp. 2343 - 2359
Journal Article
Energy Economics, ISSN 0140-9883, 03/2013, Volume 36, pp. 526 - 535
This paper examines risk transmission and migration among six US measures of credit and market risk during the full period 2004–2011 period and the 2009–2011... 
SMOVE | Risk | Adjustments | VIX | MOVE | Sectoral CDS | COINTEGRATION | DEFAULT SWAP | ECONOMICS | IMPULSE-RESPONSE ANALYSIS | SPREADS | VOLATILITY | Petroleum industry | Credit market | Credit default swaps
Journal Article
Journal of Empirical Finance, ISSN 0927-5398, 12/2018, Volume 49, pp. 247 - 262
We study spillovers from bank to sovereign risk in the euro area using difference specifications around the European Central Bank's release of stress test... 
European Central Bank | Comprehensive Assessment | Bank-sovereign nexus | Stress test | Risk spillovers | MARKETS | MONETARY-POLICY | DEFAULT RISK | CREDIT CONTAGION | MODEL | BUSINESS, FINANCE | LINKAGES | ECONOMICS | CRISES | Central banks
Journal Article
Applied Economics, ISSN 0003-6846, 12/2019, Volume 51, Issue 59, pp. 6333 - 6349
We examine spillover and its determinants among Eurozone sector level credit markets using time and frequency domain spillover approaches. Based on network... 
crisis periods | C52 | network connectedness | time and frequency domain spillovers | G11 | Bayesian model averaging | Credit default swaps | C51 | Economic models | Eurozone | Quantitative Finance
Journal Article
The European Journal of Comparative Economics, ISSN 1824-2979, 06/2019, Volume 16, Issue 1, pp. 105 - 124
The purpose of the paper is twofold. First, it aims at identifying when UK and European (France, Germany, Italy and Spain) Credit Default Swaps (CDSs) exhibit... 
Political aspects | Credit default swaps | Hedging (Finance) | Economic models | Financial institutions | Volatility | International finance | EU membership | Brexit | explosivity | spillover effects | volatility | credit default swaps | Europe
Journal Article
Frontiers in Psychology, ISSN 1664-1078, 02/2019, Volume 10, p. 178
Policy makers increasingly use choice defaults to promote "good" causes by influencing socially relevant decisions in desirable ways, e.g., to increase... 
Spillovers | Nudge | Defaults | Licensing | Consistency | GAMES | BEHAVIORAL ECONOMICS | consistency | FOOT | PSYCHOLOGY, MULTIDISCIPLINARY | defaults | MORAL SELF | spillovers | FAIRNESS | PREFERENCE | licensing | ELECTRICITY | nudge | ETHICS | Decision-making | Interpersonal relations | Licenses | Analysis | Externalities (Economics)
Journal Article
Journal of Banking & Finance, ISSN 0378-4266, 12/2013, Volume 37, Issue 12, p. 4793
  This paper investigates contagion between bank and sovereign default risk in Europe over the period 2007-2012. We define contagion as excess correlation,... 
Studies | Correlation analysis | Risk assessment | Banks | Sovereign debt | Default | Economic crisis
Journal Article
Regional Science and Urban Economics, ISSN 0166-0462, 11/2018, Volume 73, pp. 68 - 82
This paper investigates spillover effects of mortgage defaults in the neighborhood on a homeowner's default decision. Following the interactions-based model of... 
Discrete choices | Spatial networks | Rational expectations | Mortgage defaults | Key player analysis | NETWORK | PROPERTY | SEQUENTIAL ESTIMATION | CHOICE | MODELS | URBAN STUDIES | ECONOMICS | ENVIRONMENTAL STUDIES | SALES | FORECLOSURE | Homeowners | Mortgages | Credit ratings | Home loans | Models | Risk analysis | Risk factors
Journal Article
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