1,753 research outputs found
EU-15 SOVEREIGN GOVERNMENTS COST OF BORROWING AFTER SEVEN YEARS OF MONETARY UNION
Yield spreads over 10-year German government securities of the EU-15 countries converged dramatically in the seven years after the beginning of Monetary Integration. In this paper, we investigate the relative influence of systemic and idiosyncratic risk factors on their behaviour. Our conclusions suggest that in EMU-countries the relative importance of domestic risk factors (both credit and liquidity risk factors) is higher than that of international factors, which appear to play a secondary but significant role in non-EMU countries.Monetary integration, sovereign securities markets, systemic, idiosyncratic risk.
EU-15 sovereign governments' cost of borrowing after seven years of Monetary Union
Yield spreads over 10-year German government securities of the EU-15 countries converged dramatically in the seven years after the beginning of Monetary Integration. In this paper, we investigate the relative influence of systemic and idiosyncratic risk factors on their behaviour. Our conclusions suggest that in EMU-countries the relative importance of domestic risk factors (both credit and liquidity risk factors) is higher than that of international factors, which appear to play a secondary but significant role in non-EMU countries.Monetary integration, sovereign securities markets, systemic and idiosyncratic risk
THE IMPACT OF MONETARY UNION ON EU-15 SOVEREIGN DEBT YIELD SPREADS
With European Monetary Union (EMU), there was an increase in the adjusted spreads (corrected from the foreign exchange risk) of euro participating countries’ sovereign securities over Germany and a decrease in those of non-euro countries. The objective of this paper is to study the reasons for this result, and in particular, whether the change in the price assigned by markets was due to domestic factors such as credit risk and/or market liquidity, or to international risk factors. The empirical evidence suggests that market size scale economies have increased since EMU for all European markets, so the effect of the various risk factors, even though it differs between euro and non-euro countries, is always dependent on the size of the market.Monetary integration, sovereign securities markets, international and domestic credit risk, and market liquidity
MONETARY INTEGRATION AND THE COST OF BORROWING
With the beginning of the European Monetary Union (EMU), euro-area sovereign securities’ adjusted spreads over Germany (corrected from the foreign exchange risk) experienced an increase that caused a lower than expected decline in borrowing costs. The objective of this paper is to study what explains that rising. In particular, if it took place a change in the price assigned by markets to domestic (credit risk and/or market liquidity) or to international risk factors. The empirical evidence supports the idea that a change in the market value of liquidity occurred with the EMU. International and default risk play a smaller role.Monetary integration, sovereign securities’ markets, international and domestic credit risk, and market liquidity
The Impact of Monetary Union on EU-15 Sovereign Debt Yield Spreads
With European Monetary Union (EMU), there was an increase in the adjusted spreads (corrected from the foreign exchange risk) of euro participating countries sovereign securities over Germany and a decrease in those of non-euro countries. The objective of this paper is to study the reasons for this result, and in particular, whether the change in the price assigned by markets was due to domestic factors such as credit risk and/or market liquidity, or to international risk factors. The empirical evidence suggests that market size scale economies have increased since EMU for all European markets, so the effect of the various risk factors, even though it differs between euro and non-euro countries, is always dependent on the size of the market.sovereign securities markets, monetary integration, market liquidity, international and domestic credit risk
"Causality and contagion in peripheral EMU public debt markets: a dynamic approach"
Our research aims to analyze the causal relationships in the behavior of public debt issued by peripheral member countries of the European Economic and Monetary Union (EMU), with special emphasis on the recent episodes of crisis triggered in the eurozone sovereign debt markets since 2009. With this goal in mind, we make use of a database of daily frequency of yields on 10-year government bonds issued by five EMU countries (Greece, Ireland, Italy, Portugal and Spain), covering the entire history of the EMU from its inception on 1 January 1999 until 31 December 2010. In the first step, we explore the pair-wise causal relationship between yields, both for the whole sample and for changing subsamples of the data, in order to capture the possible time-varying causal relationship. This approach allows us to detect episodes of contagion between yields on bonds issued by different countries. In the second step, we study the determinants of these contagion episodes, analyzing the role played by different factors, paying special attention to instruments that capture the total national debt (domestic and foreign) in each country.Sovereign bond yields, causality, time-varying contagion, euro area, peripheral EMU countries. JEL classification:E44, F36, G15
Causality and contagion in peripheral EMU public debt markets: a dynamic approach
Our research aims to analyze the causal relationships in the behavior of public debt issued by peripheral member countries of the European Economic and Monetary Union (EMU), with special emphasis on the recent episodes of crisis triggered in the eurozone sovereign debt markets since 2009. With this goal in mind, we make use of a database of daily frequency of yields on 10-year government bonds issued by five EMU countries (Greece, Ireland, Italy, Portugal and Spain), covering the entire history of the EMU from its inception on 1 January 1999 until 31 December 2010. In the first step, we explore the pair-wise causal relationship between yields, both for the whole sample and for changing subsamples of the data, in order to capture the possible time-varying causal relationship. This approach allows us to detect episodes of contagion between yields on bonds issued by different countries. In the second step, we study the determinants of these contagion episodes, analyzing the role played by different factors, paying special attention to instruments that capture the total national debt (domestic and foreign) in each country.Nuestra investigaciĂłn tiene como objetivo analizar las relaciones causales en el comportamiento de la deuda pĂşblica emitida por paĂses miembros perifĂ©ricos de la UniĂłn EconĂłmica y Monetaria (UEM), con especial Ă©nfasis en los recientes episodios de crisis desatados en los mercados de deuda soberana de la zona euro desde 2009. Con este objetivo, empleamos una base de datos de la frecuencia diaria de los rendimientos de los bonos gubernamentales a 10 años emitidos por cinco paĂses de la UEM (Grecia, Irlanda, Italia, Portugal y España), que abarca toda la historia de la UEM desde su inicio el 1 de enero de 1999 al 31 diciembre de 2010. En la primera etapa, se explora la relaciĂłn causal por pares entre los rendimientos, tanto para la muestra completa y para submuestras cambiantes de los datos, con el fin de capturar posible relaciĂłn causal en funciĂłn del tiempo. Este enfoque nos permite detectar episodios de contagio entre los rendimientos de los bonos emitidos por paĂses distintos. En el segundo paso, se estudian los factores determinantes de estos episodios de contagio, el análisis del papel desempeñado por diferentes factores, prestando especial atenciĂłn a los instrumentos que capturan la deuda nacional total (domĂ©stica y extranjera) en cada paĂs.Sovereign bond yields, Causality, Time-varying contagion, Euro area, Peripheral EMU countries, Rendimientos bonos soberanos, Causalidad, Contagio variable en el tiempo, Eurozona, PaĂses perifĂ©ricos UEM.
Liquidez y tamaño del mercado: diferenciales de rentabilidad a largo plazo tras la UME
El objetivo de este trabajo es el análisis de la importancia relativa de los principales factores de riesgo domĂ©stico que componen los diferenciales de rentabilidad de la deuda pĂşblica a largo plazo tras la IntegraciĂłn Monetaria. Los resultados muestran que un cambio en la valoraciĂłn del mercado de la prima de liquidez podrĂa haber ocurrido con el inicio de la UniĂłn Cambiaria
La Recerca formativa
Aquest document és una aproximació teòrica sobre el concepte, el procés, la metodologia i les bones prà ctiques que en educació superior existeixen per portar a la prà ctica la metodologia de la recerca formativa. Es presenta el valor didà ctic d'aquesta tècnica pel desenvolupament competencial de l'estudiantat
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