Measuring Systematic Risk in EMU Government Yield Spreads

By Alois Geyer, Stephan Kossmeier, Stefan Pichler. 2003

226 citations recorded by the source corpus.

Subfields: Finance

View Paper: https://www.semanticscholar.org/paper/ba35d99606de9bf24155291fb189e2cfcb86464e

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Citations in the corpus

Sovereign Spreads: Global Risk Aversion, Contagion or Fundamentals? (2010, unknown): “Euro area Sovereign 10-Year Swap Spreads .........................................................................6 2.”
The European Bond Markets Under Emu (2004, unknown): “The most striking finding by Geyer et al. (2004) is the virtual absence of country-specific yield-spread risk.”
The Greek financial crisis: growing imbalances and sovereign spreads (2012, unknown): “They find strong evidence of a break in 10 See, for example, Favero et al., 1997; Codogno et al. 2003; Geyer et al., 2004; Gerlach et al., 2010.”
Credit-Risk Valuation in the Sovereign CDS and Bonds Markets: Evidence from the Euro Area Crisis (2013, unknown): “…study of the determinants of the sovereign basis is carried out using daily data (instead of weekly) that covers the recent European Monetary Union 4 See, e.g., Codogno et al. (2003), Geyer et al. (2004), Bernoth et al. (2006), Favero et al. (2010), Beber et al. (2009), and Mayordomo et al. (2012).”
Flight-to-Quality or Flight-to-Liquidity? Evidence from the Euro-Area Bond Market (2006, methodology): “Geyer, Kossmeier, and Pichler (2004) and Menkveld, Cheung, and de Jong (2005) employ factor models in their analysis while Codogno, Favero, and Missale (2003) and Favero, Pagano, and Von Thadden (2005) relate yield spreads to movements in U.S. debt markets.”
How Does Liquidity Affect Government Bond Yields? (2009, unknown): “Consistent with these findings and with the results of Geyer et al. (2004), Figure 3 shows that this international risk factor is strongly correlated with the first principal component of yield differentials in the euro area.”
Banking and Sovereign Risk in the Euro Area (2010, unknown): “In contrast, liquidity only plays a minor role.2 This result is robust both to the choice of sample and estimation strategy: Geyer et al. (2004) study data for Austria, Belgium, Germany, Italy and Spain and come to similar conclusions, using state space techniques.”
EMU and European Government Bond Market Integration (2010, unknown): “Geyer et al. (2004) estimate a multi-issuer state-space version of the Cox-Ingersoll-Ross (1985) model of the evolution of bond-yield spreads (over Germany) for four EMU countries (Austria, Belgium, Italy and Spain).”
Determinants of Government Bond Spreads in New EU Countries (2010, background): “…of government bond spreads to short-term interest rates increases as the credit quality of the underlying bond deteriorates.1 Finally, a study by Geyer et al. (2004) for the eurozone reaches a different conclusion regarding the relative role of fundamentals and common factors in driving yield…”
What Drives Spreads in the Euro Area Government Bond Market? (2007, unknown): “2005 , Geyer et al .”
Systemic Sovereign Credit Risk: Lessons from the U.S. and Europe (2013, background): “For example, see Kamin and von Kleist (1999), Eichengreen and Mody (2000), Mauro, Sussman, and Yafeh (2002), Geyer, Kossmeier, and Pichler (2004), Rozada and Yeyati (2005), Remolona, Scatigna, and Wu (2008), Pan and Singleton (2008), Winkler (2011), and Longstaff, Pan, Pedersen, and Singleton…”
The Determinants of Sovereign Bond Yield Spreads in the EMU (2012, background): “…First, prior to summer 2007 the international risk factor was an important determinant of bond yields and spreads, as suggested by studies including Codogno et al. (2003), Geyer et al. (2004), Barrios et al. (2009), Sgherri and Zoli (2009), Manganelli and Wolswijk (2009) and Favero et al. (2010).”
Market Discipline, Financial Integration and Fiscal Rules: What Drives Spreads in the Euro Area Government Bond Market? (2007, unknown): “A robust finding of the literature is that spreads under EMU are driven by a common factor (see, for example, Codogno et al. 2003, Favero et al. 2005, Geyer et al. 2004).”
Modelling and forecasting government bond spreads in the euro area: A GVAR model (2013, background): “This variable is introduced to capture the influence of time-varying risk aversion, which is a world exogenous factor commonly believed to influence euro area credit spreads (Codogno et al. (2003), Geyer et al.(2004) and Bernoth et al. (2006)).”