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Legal clauses and sovereign bond pricing in the euro area

November 12, 2018 Bilal 0

Legal clauses and sovereign bond pricing in the euro area https://ift.tt/2PctLA8 Sovereign bond pricing in the euro area: When legal clauses matter The discussion on sovereign debt restructuring in the euro area has recently focused on legal considerations, in particular on whether the legal framework should be reformed to make restructurings more ‘viable’, for example via new collective action clauses (Bénassy-Quéré et al. 2018, Tabellini 2018, Pisani-Ferry and Zettelmeyer 2018).  Should sovereign debts in Europe be ‘hard’ or ‘easy’ to restructure? The fundamental trade-off behind this question is well understood, at least theoretically (e.g. Bolton and Jeanne 2007, 2009, Pitchford […]

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Beyond spreads: Measuring sovereign market stress in the euro area

October 16, 2018 Bilal 0

Beyond spreads: Measuring sovereign market stress in the euro area https://ift.tt/2QUOMeT JavaScript is disabled on your browser. Please enable JavaScript to use all the features on this page. Beyond spreads: Measuring sovereign market stress in the euro area☆ Abstract We develop a novel composite indicator to measure sovereign bond market stress in the euro area. The indicator integrates yield and liquidity spreads along with volatility into an overall measure of sovereign market stress. An application to the spillover literature suggests that stress mainly originates from a few countries, but that spillover patterns also vary over time. JEL classification C43 E44 […]