DC FieldValueLanguage
dc.contributor.authorStamatopoulos, Theodoros-
dc.contributor.authorThalassinos, Eleftherios-
dc.contributor.authorThalassinos, Pantelis-
dc.date.accessioned2024-02-27T18:12:53Z-
dc.date.available2024-02-27T18:12:53Z-
dc.date.issued2015-
dc.identifiergoogle_scholar-mdDxtD8AAAAJ:u5HHmVD_uO8C-
dc.identifier.isbn978-981-4566-91-9-
dc.identifier.othermdDxtD8AAAAJ:u5HHmVD_uO8C-
dc.identifier.urihttps://uniwacris.uniwa.gr/handle/3000/1226-
dc.description.abstractThe global financial crisis of 2008–2009 that was triggered by the Lehman Brothers bankruptcy produced a liquidity problem in the shadow banking in the United States and a sovereign debt problem in Europe. The European financial crisis revealed that the European Monetary Union's (EMU) architectural deficiencies led to the increase of risk premia and poverty, especially for the South-West Euro-Area Periphery (SWEAP) countries. The main objectives of this research are to determine the factors responsible for the market pricing of sovereign default risk, to analyze the causalities of Credit Default Swaps (CDSs) spreads that have been taken as a proxy variable for the market pricing of sovereign default risk, to examine possible pricing discrimination and asymmetries between SWEAP and non-SWEAP (Not South-West Euro-Area Periphery) countries, structural changes in the pattern of the CDS spreads throughout and after the crisis, and possible evidence of speculation against the SWEAP group of countries. In a panel data regression setting, we have constructed a dynamic pricing model of sovereign default risk for 13 euro area countries using quarterly data for the period 2008–2013. We spotted structural changes in the pattern of CDS spreads across 2010, identified as the worst year of the Eurozone crisis, as well as significant speculation and financial discrimination against SWEAP countries by the financial intermediaries associated with this derivative market. Significant variables comprised of the grading rate forwarded one period, the current governments bond yield, and the inflation rate, as well as the variables related to the public debt lagged one period. All variables, amongst other robust predictors of the CDS spreads, have been proven statistically and were economically significant, except for the fiscal space of one quarter forward of the fiscal balance, which was proven to be only weakly significant. More specifically, the variables related to fiscal space (public debt and fiscal balance) as well as the inflation rate have been proven statistically significant throughout the global financial crisis (2008–2010) and the grading rate in the period 2011–2013. Nevertheless, the government's bond yield remained significant. The main limitation of this research was the endogeneity between bond and CDS-derivative markets, emerged from the latter variable. In total, our evidence of self-fulfilling expectations and herding behavior may indicate the logic of second generation crisis model for the crisis in Eurozone 2010.en_US
dc.language.isoenen_US
dc.relation.ispartofThe World Scientific Handbook of Futures Marketsen_US
dc.relation.ispartofseriesWorld Scientific Handbook in Financial Economics Seriesen_US
dc.sourceThe World Scientific Handbook of Futures Markets, 605-639, 2016-
dc.subjectCDS spreadsen_US
dc.subjectSovereign debt crisisen_US
dc.subjectFiscal spaceen_US
dc.subjectDefault risken_US
dc.subjectEurozoneen_US
dc.titleThe European sovereign debt crisis and the role of credit swapsen_US
dc.typeBook Chapteren_US
dc.identifier.doi10.1142/9789814566926_0020en_US
dc.relation.deptDepartment of Accounting and Financeen_US
dc.relation.facultySchool of Administrative, Economics and Social Sciencesen_US
dc.identifier.spage605en_US
dc.identifier.epage639en_US
dc.collaborationUniversity of West Attica (UNIWA)en_US
dc.subject.fieldSocial Sciencesen_US
dc.journalsOpen Accessen_US
dc.publicationPeer Revieweden_US
dc.countryGreeceen_US
item.cerifentitytypePublications-
item.languageiso639-1en-
item.openairetypeBook Chapter-
item.openairecristypehttp://purl.org/coar/resource_type/c_18cf-
item.fulltextNo Fulltext-
item.grantfulltextnone-
crisitem.author.deptDepartment of Accounting and Finance-
crisitem.author.facultySchool of Administrative, Economics and Social Sciences-
crisitem.author.orcid0000-0002-9710-0870-
crisitem.author.parentorgSchool of Administrative, Economics and Social Sciences-
Appears in Collections:Book Chapter / Κεφάλαιο Βιβλίου
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