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  1. The core, the periphery, and the disaster
    corporate-sovereign nexus in COVID-19 times
    Author: Jappelli, Ruggero; Pelizzon, Loriana; Plazzi, Alberto
    Published: 2021
    Publisher:  Swiss Finance Institute, Geneva

    We show that the COVID-19 pandemic triggered a surge in the elasticity of non-financial corporate to sovereign credit default swaps in core EU countries, characterized by strong fiscal capacity. For peripheral countries with lower budgetary... more

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    Helmut-Schmidt-Universität, Universität der Bundeswehr Hamburg, Universitätsbibliothek
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    ZBW - Leibniz-Informationszentrum Wirtschaft, Standort Kiel
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    VS 544
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    We show that the COVID-19 pandemic triggered a surge in the elasticity of non-financial corporate to sovereign credit default swaps in core EU countries, characterized by strong fiscal capacity. For peripheral countries with lower budgetary slackness, the pandemic had essentially no impact on such elasticity. This evidence is consistent with the disaster-induced repricing of government support, which we model through a rare-disaster asset pricing framework with bailout guarantees and defaultable public debt. The model implies that risk-adjusted guarantees in the core were 2.6 times those in the periphery, suggesting that fiscal capacity buffers provide relief to firms’ financing costs

     
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    Source: Union catalogues
    Language: English
    Media type: Book
    Format: Online
    Other identifier:
    Edition: First draft: January 2021
    Series: Research paper series / Swiss Finance Institute ; no 21, 30
    Subjects: COVID-19; Credit Risk; Sovereign Risk; Fiscal Capacity; Bailout
    Scope: 1 Online-Ressource (circa 56 Seiten), Illustrationen
  2. The core, the periphery, and the disaster
    corporate-sovereign nexus in COVID-19 times
    Author: Jappelli, Ruggero; Pelizzon, Loriana; Plazzi, Alberto
    Published: [2021]
    Publisher:  Leibniz Institute for Financial Research SAFE, Sustainable Architecture for Finance in Europe, [Frankfurt am Main]

    We show that the COVID-19 pandemic triggered a surge in the elasticity of non-financial corporate to sovereign credit default swaps in core EU countries, characterized by strong fiscal capacity. For peripheral countries with lower budgetary... more

    Access:
    Verlag (kostenfrei)
    Resolving-System (kostenfrei)

    Location:
    ZBW - Leibniz-Informationszentrum Wirtschaft, Standort Kiel
    Signature:
    DS 431
    Inter-library loan:
    No inter-library loan

     

    We show that the COVID-19 pandemic triggered a surge in the elasticity of non-financial corporate to sovereign credit default swaps in core EU countries, characterized by strong fiscal capacity. For peripheral countries with lower budgetary slackness, the pandemic had essentially no impact on such elasticity. This evidence is consistent with the disaster-induced repricing of government support, which we model through a rare-disaster asset pricing framework with bailout guarantees and defaultable public debt. The model implies that risk-adjusted guarantees in the core were 2.6 times those in the periphery, suggesting that fiscal capacity buffers provide relief to firms' financing costs.

     
    Export to reference management software   RIS file
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    Source: Union catalogues
    Language: English
    Media type: Book
    Format: Online
    Other identifier:
    hdl: 10419/247667
    Series: SAFE working paper ; no. 331 (December 2021)
    Subjects: COVID-19; Credit Risk; Sovereign Risk; Fiscal Capacity; Bailout
    Scope: 1 Online-Ressource (circa 63 Seiten), Illustrationen
  3. Four essays on financial markets and sovereign risk: how the Euro crisis, commodities and climate change affect countries' financing costs
    Author: Böhm, Hannes
    Published: 2021

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    Universitätsbibliothek Braunschweig
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    Staats- und Universitätsbibliothek Bremen
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    Universitätsbibliothek Clausthal
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    Sächsische Landesbibliothek - Staats- und Universitätsbibliothek Dresden
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    Fachhochschule Erfurt, Hochschulbibliothek
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    Niedersächsische Staats- und Universitätsbibliothek Göttingen
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    Universitäts- und Landesbibliothek Sachsen-Anhalt / Zentrale
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    Helmut-Schmidt-Universität, Universität der Bundeswehr Hamburg, Universitätsbibliothek
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    Staats- und Universitätsbibliothek Hamburg Carl von Ossietzky
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    Technische Universität Hamburg, Universitätsbibliothek
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    Bibliothek der Hochschule Hannover
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    Bibliothek im Kurt-Schwitters-Forum
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    Technische Informationsbibliothek (TIB) / Leibniz-Informationszentrum Technik und Naturwissenschaften und Universitätsbibliothek
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    ZBW - Leibniz-Informationszentrum Wirtschaft, Standort Kiel
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    Zentrale Hochschulbibliothek Lübeck
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    Leuphana Universität Lüneburg, Medien- und Informationszentrum, Universitätsbibliothek
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    Hochschule Magdeburg-Stendal, Hochschulbibliothek
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    Hochschule Osnabrück, Bibliothek Campus Westerberg
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    Hochschule Magdeburg-Stendal, Standort Stendal, Bibliothek
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    UB Weimar
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    Export to reference management software   RIS file
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    Source: Union catalogues
    Contributor: Eichler, Stefan (AkademischeR BetreuerIn); Thum, Marcel (AkademischeR BetreuerIn)
    Language: English
    Media type: Dissertation
    Format: Online
    Other identifier:
    RVK Categories: QR 500
    Subjects: Financial Markets; Sovereign Risk; Climate Change; Euro crisis
    Scope: 1 Online-Ressource (circa 263 Seiten), Illustrationen
    Notes:

    Dissertation, Technische Universität Dresden, 2021