Central bank gold reserves and sovereign credit risk

A Pyrrhic Victory? Bank Bailouts and Sovereign Credit Risk

We show that financial sector bailouts and sovereign credit risk are intimately linked. A bailout benefits the economy by ameliorating the under-investment problem of the financial sector. However, increasing taxation of the non-financial sector to fund the bailout may be inefficient since it weakens its incentive to invest, decreasing growth. Instead, the sovereign may choose to fund the bailo...

Sovereign Credit Risk Measures

This paper focuses on sovereign credit risk meaning a hot topic related to the current Eurozone crisis. In the light of the recent financial crisis, market perception of the creditworthiness of individual sovereigns has changed significantly. Before the outbreak of the financial crisis, market participants did not differentiate between credit risk born by individual states despite different lev...

Sovereign credit risk , liquidity , and ECB intervention :

This paper examines the dynamic relationship between credit risk and liquidity in the sovereign bond market in the context of the European Central Bank (ECB) interventions. Using a comprehensive set of liquidity measures obtained from a detailed, quote-level dataset of the largest interdealer market for Italian government bonds, we show that changes in credit risk, as measured by the Italian so...

Credit and Liquidity Risk in Sovereign Bonds

This master thesis, builds on the contributions by Ejsing et al. (2012) and Dubecq et al. (2013) to shed light on the credit and liquidity risk components of sovereign bond yields. Four countries have been studied: France, the Netherlands, Germany and Spain. The task has been faced by considering several state-space models, all of them connected by the idea that the differences in the yields be...

Internet Appendix for “ A Pyrrhic Victory ? Bank Bailouts and Sovereign Credit Risk ”