We investigate empirically how fiscal shocks—unanticipated and exogenous changes of
government consumption growth—affect the sovereign default premium. For this purpose …

In this paper, we exploit CDS quotes for contracts denominated in different currencies and
with different default clauses to estimate the risk of a breakup of the Eurozone and the …

This paper proposes an identification strategy for news about sovereign debt-based asset
purchases. It measures sovereign yield changes that are unrelated to movements in risk-free …

Abstract In the winter 2011/12, a wave of internal capital flight prompted the ECB to abandon
its exit strategy and announce an unprecedented monetary expansion. We analyze this …

A eurozone exit or breakup exposes bondholders to currency redenomination risk. I quantify
redenomination risk since the sovereign debt crisis: It contributes substantially to credit …

The political situation in Italy had and still has implications for sovereign credit and
redenomination risk. The current political environment is discussed from an economic and …

In this paper we use sovereign quanto-CDS spreads as proxy for redenomination-risk in the
Eurozone, ie, the risk of a sovereign default obtained by the redenomination of debt in a …

Redenomination and default risk are key issues for European sovereign bond markets.
Which of the two credit events is more likely? And which is expected to occur first? For Italy …

We study the dependence between redenomination and default risk for Italy, France,
Germany and the Netherlands exploiting the 2014 revision of ISDA CDS contract standard …

How can monetary and fiscal policy sustain a currency union when member states have an
exit option? This paper derives an interest rate rule that features state-dependent country …