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Euro Area Sovereign Risk During the Crisis.

While the use of public resources is critical to cushion the impact of the financial crisis on the euro-area economy, it is key that the entailed fiscal costs not be seen by markets as undermining fiscal sustainability. From this perspective, to what extent do movements in euro area sovereign spread...

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Detalles Bibliográficos
Clasificación:Libro Electrónico
Autor principal: Zoli, Edda
Otros Autores: Sgherri, Silvia
Formato: Electrónico eBook
Idioma:Inglés
Publicado: Washington : International Monetary Fund, 2009.
Colección:IMF Working Papers.
Temas:
Acceso en línea:Texto completo

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245 1 0 |a Euro Area Sovereign Risk During the Crisis. 
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505 0 |a Cover Page; Title Page; Copyright Page; Contents; I. Introduction; 1. Selected Euro Area Sovereign Spreads, June 2008-09; 2. Dispersion in Euro Area Sovereign Spreads, January 2001-June 2009; II. Euro Area Sovereign Risk and the Crisis: Stylized Facts; 3. Headline Deficit: Contributions from Automatic Stabilizers and Discretionary Measures; 4. Up-front Government Financing Need to Shore Up the Financial Sector; 5. From Credit Risk to Sovereign Risk: The Case of Ireland; 6. Sovereign Spreads and Financial EDFs in Euro Area Countries; III. Dissecting Common Risk. 
505 8 |a 7. Estimated Common Component in Sovereign Spreads1. Explaining Common Factor's Dynamics; IV. Explaining Developments in Euro Area Sovereign Risk During The Crisis; 8. A Preliminary Look at the Determinants of Spreads Behavior; 2. Panel Estimates; 9. Contributions to the Change in Spreads, January 2003-January 2009; 3. Seemingly Unrelated Regression Estimates, January 2003-January 2009; 4. Seemingly Unrelated Regression Estimates, January 2003-March 2009; 10. Contributions to the Change in Spreads, January 2003-March 2009; V. Conclusion; References; Footnotes. 
520 |a While the use of public resources is critical to cushion the impact of the financial crisis on the euro-area economy, it is key that the entailed fiscal costs not be seen by markets as undermining fiscal sustainability. From this perspective, to what extent do movements in euro area sovereign spreads reflect country-specific solvency concerns? In line with previous studies, the paper suggests that euro area sovereign risk premium differentials tend to comove over time and are mainly driven by a common time-varying factor, mimicking global risk repricing. Since October 2008, however, there is e. 
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650 0 |a Risk management  |z European Union countries  |x Econometric models. 
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650 6 |a Gestion du risque  |z Pays de l'Union européenne  |x Modèles économétriques. 
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