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The euro exchange rate during the European sovereign debt crisis – Dancing to its own tune?

Michael Ehrmann, Chiara Osbat, Jan Stráský, Lenno Uusküla
2014 Journal of International Money and Finance  
Acknowledgements This paper presents the authors' personal opinions and does not necessarily reflect the views of the European Central Bank, the Bank of Estonia, the Eurosystem or the OECD.  ...  We thank Paolo Gambetti for research assistance, the editorial board and an anonymous referee of the ECB Working Paper Series as well as participants at seminars at the ECB, the Bank of Estonia, and a  ...  Arezki et al. (2011) focus on the effects of sovereign rating announcements during the European sovereign debt crisis.  ... 
doi:10.1016/j.jimonfin.2014.06.008 fatcat:q36emtibuvdwrp5ytzgmdb7bei

Credit rating agency downgrades and the Eurozone sovereign debt crises

Christopher F. Baum, Dorothea Schäfer, Andreas Stephan
2016 Journal of Financial Stability  
This paper studies the impact of credit rating agency (CRA) downgrade announcements on the value of the Euro and the yields of French, Italian, German and Spanish long-term sovereign bonds during the culmination  ...  of the Eurozone debt crisis in 2011-2012.  ...  In Section 3, we present a brief summary of rating announcements during the European sovereign debt crisis. Section 4 presents a comparison with the Asian financial crisis of 1997-1998.  ... 
doi:10.1016/j.jfs.2016.05.001 fatcat:xrmhwe6nvnbsnkg5irv5fwg4ge

Rating agencies' signals during the European sovereign debt crisis: Market impact and spillovers

Rasha Alsakka, Owain ap Gwilym
2013 Journal of Economic Behavior and Organization  
JEL classification: F31 G15 G24 Keywords: European sovereign debt crisis Agencies' signals Spillover effect Credit outlook/watch Foreign exchange market a b s t r a c t The ongoing financial crisis has  ...  The findings are important in enhancing understanding of the role of rating agencies and the market response to their signals.  ...  signals are provided by second and third CRAs following the news released by a 'first mover' on a given sovereign rating.  ... 
doi:10.1016/j.jebo.2011.12.007 fatcat:vqzfxmazhjcdzlqc2uzvwjpibi

Credit Rating Agency Announcements and the Eurozone Sovereign Debt Crisis

Christopher F. Baum, Margarita Karpava, Dorothea Schaefer, Andreas Stephan
2013 Social Science Research Network  
Abstract This paper studies the impact of credit rating agency (CRA) announcements on the value of the Euro and the yields of French, Italian, German and Spanish long-term sovereign bonds during the culmination  ...  of the Eurozone debt crisis in 2011-2012.  ...  In Section 3, we present a brief summary of rating announcements during the European sovereign debt crisis. Section 4 presents a comparison with the Asian financial crisis of 1997-1998.  ... 
doi:10.2139/ssrn.2352880 fatcat:grvuwxbl2rdllln6gorkgm3ldm

Credit rating agencies: Part of the solution or part of the problem?

2011 Intereconomics. Review of European Economic Policy  
Table 2 provides more detail on CRA differences of opinion on European sovereign ratings for the pre-crisis and crisis periods.  ...  They are in the news on a daily basis in the context of the sovereign crisis, and their use is obligatory under EU legislation.  ... 
doi:10.1007/s10272-011-0389-0 fatcat:iokit6g7cneuxir336k7kzb3ke

Bank Standalone Credit Ratings

Michael Robert King, Steven R. G. Ongena, Nikola A. Tarashev
2019 Social Science Research Network  
The papers are on subjects of topical interest and are technical in character. The views expressed in them are those of their authors and not necessarily the views of the BIS.  ...  BIS Working Papers are written by members of the Monetary and Economic Department of the Bank for International Settlements, and from time to time by other economists, and are published by the Bank.  ...  Impact of Greek Bail-Out Negotiations One of many European summits concerning the Greek sovereign debt crisis took place on July 21, 2011 -the day following the Fitch announcement.  ... 
doi:10.2139/ssrn.3345619 fatcat:saik4ucpffgillkvflsntt4vki

Sovereign Rating News and Financial Markets Spillovers: Evidence From the European Debt Crisis

Bertrand Candelon, Amadou N. R. Sy, Rabah Arezki
2011 IMF Working Papers  
Abstract This paper examines the spillover effects of sovereign rating news on European financial markets during the period 2007-2010.  ...  Our main finding is that sovereign rating downgrades have statistically and economically significant spillover effects both across countries and financial markets.  ...  among others provides evidence of delayed sovereign rating announcements of credit rating agencies in the context of the Asian crisis.  ... 
doi:10.5089/9781455227112.001 fatcat:vb2hhstkrfbvxl6wogcqsid6nm

Interest-Rate Setting at the ECB Following the Financial and Sovereign Debt Crises, in Real-Time

Florence Bouvet, Sharmila King
2011 Modern Economy  
Specifically, we investigate the impact of the financial and sovereign debt crises on ECB policy. We find the European Overnight Index Average (EONIA) rises when expected economic activity is strong.  ...  However, the EONIA increases as Greek sovereign risk rises, possibly from increasing demand for liquidity by banks.  ...  Using the repo rate to examine the effects of the financial and sovereign debt crises on ECB policy is problematic since the ECB does not alter this rate while the crisis is developing.  ... 
doi:10.4236/me.2011.25083 fatcat:cd7l4bsvnvbt7nmljh5jpklcfq

The Euro Area Sovereign Debt Crisis: Safe Haven, Credit Rating Agencies and the Spread of the Fever from Greece, Ireland and Portugal

Roberto A. De Santis
2012 Social Science Research Network  
The network is composed of economists from the European System of Central Banks (ESCB), i.e. the 27 national central banks of the European Union (EU) and the European Central Bank.  ...  The paper is released in order to make the research of MaRs generally available, in preliminary form, to encourage comments and suggestions prior to fi nal publication.  ...  Acknowledgements I would like to thank Gianni Amisano, Magda Grothe, Wolfgang Lemke and Diego Moccero for numerous discussions and technical  ... 
doi:10.2139/ssrn.1991159 fatcat:hkajn4t6sjebvf55onn4dfq2rq


2010 Finanţe: Provocările viitorului  
Leu/Euro exchange rate has reversed the trajectory in April 2010, the movement was upward during the Second quarter mainly reflects fears of amplification of the Greek sovereign debt crisis and its possible  ...  , even if they was represented of strong and stable economies, fails to "appease" their exchange rate?  ...  Based on these considerations, for the year 2011 may provide storage of leu / Euro exchange rate around current value (4.3 RON/EUR), the Romanian economy quickly adjusting to the European economy imbalance  ... 
doaj:af005c97bebe4f8987bbc799d5566588 fatcat:jrv2hi2stzad3discm7txaqeou

Interest rate spreads in the eurozone: Fundamentals or sentiments?

Maximilian Gödl, Jörn Kleinert
2016 Review of World Economics  
Our results indicate that yields react to news on key economic indicators such as growth and budget deficit forecasts.  ...  Therefore we take an event study approach using high-frequency (daily) data to investigate the impact of three categories of news events on eurozone bond yields.  ...  Acknowledgments Open access funding provided by University of Graz.  ... 
doi:10.1007/s10290-016-0252-2 fatcat:qpbtrrcnvjcybdyfjzzzta76fm

Risks Ahead for the Financial Industry in a Changing Interest Rate Environment

Gert Wehinger
2010 OECD Journal Financial Market Trends  
The Greek crisis has shown that being part of a monetary union does not prevent speculative attacks on a member of the union, and widening deficits in many other OECD economies have put sovereign risks  ...  or fixed exchange rates (especially in Asia), have been providing incentives to profit from positive carry in fixed income and foreign exchange markets.  ... 
doi:10.1787/fmt-2010-5km7k9tp5zhh fatcat:kinnkkyfqngvtflh7w7uzmwshu

The risks of low interest rates

Leonardo Gambacorta
2011 Ensayos sobre Política Económica  
These advances -observed before the Greek sovereign debt crisis-may mirror an easing of counterparty and collateral concerns and a reduction in central bank open market operations.  ...  LARGE CAPITAL FLOWS TO EMERGING MARKETS AND PRESSURES ON THEIR ExCHANGE RATES Persistently low rates in the major economies may cause side effects beyond their borders, both in emerging markets and in  ... 
doi:10.32468/espe.6401 fatcat:2tzl7smhjjb7nkb4qxpnhiattm

The US$// Exchange Rate: Structural Modeling and Forecasting During the Recent Financial Crises

Claudio Morana
2015 Social Science Research Network  
with the sluggish and scattered recovery from the sovereign debt crisis and the new Greek solvency crisis exploded in late spring/early summer 2015.  ...  Keywords: US$/ exchange rate, asset pricing theory of exchange rate determination, macroeconomic and financial determinants, risk factors, subprime mortgage financial crisis, sovereign debt crisis, early  ...  Harrod-Balassa-Samuleson effects and the portfolio model of exchange rate determination.  ... 
doi:10.2139/ssrn.2708457 fatcat:b5wjfjfifvb2tbeonohmr6gwku

The Home Bias in Sovereign Ratings

Andreas Fuchs, Kai Gehring
2017 Journal of the European Economic Association  
While most of the variation in ratings is explained by the fundamentals of rated countries, our results provide empirical support for the existence of a home bias in sovereign ratings.  ...  Credit rating agencies are frequently criticized for producing sovereign ratings that do not accurately reflect the economic and political fundamentals of rated countries.  ...  Specifically, four agencies provide significantly better ratings to their home country than what would be justified by their assessments of the economic and political fundamentals of other sovereigns.  ... 
doi:10.1093/jeea/jvx009 fatcat:re2cbgupbzcateaobfdt3hfvu4
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