LEADER 05979oam 22012134 450 001 9910828554103321 005 20240402051817.0 010 $a1-4623-9410-8 010 $a1-4527-4905-1 010 $a1-4518-7369-7 010 $a9786612844263 010 $a1-282-84426-1 035 $a(CKB)3170000000055363 035 $a(SSID)ssj0000940752 035 $a(PQKBManifestationID)11600654 035 $a(PQKBTitleCode)TC0000940752 035 $a(PQKBWorkID)10956020 035 $a(PQKB)10591944 035 $a(OCoLC)694140994 035 $a(MiAaPQ)EBC1608845 035 $a(IMF)WPIEE2009222 035 $a(EXLCZ)993170000000055363 100 $a20020129d2009 uf 0 101 0 $aeng 135 $aurcn||||||||| 181 $ctxt 182 $cc 183 $acr 200 10$aEuro Area Sovereign Risk During the Crisis /$fEdda Zoli, Silvia Sgherri 205 $a1st ed. 210 1$aWashington, D.C. :$cInternational Monetary Fund,$d2009. 215 $a23 p. $cill 225 1 $aIMF Working Papers 300 $a"European Department." 311 $a1-4519-1789-9 327 $aIntro -- Contents -- I. Introduction -- II. Euro Area Sovereign Risk and the Crisis: Stylized Facts -- III. Dissecting Common Risk -- IV. Explaining Developments in Euro Area Sovereign Risk During The Crisis -- V. Conclusion -- Tables -- 1. Explaining Common Factor's Dynamics -- 2. Panel Estimates -- 3. Seemingly Unrelated Regression Estimates, January 2003-January 2009 -- 4. Seemingly Unrelated Regression Estimates, January 2003-March 2009 -- Figures -- 1. Selected Euro Area Sovereign Spreads, June 2008-09 -- 2. Dispersion in Euro Area Sovereign Spreads, January 2001-June 2009 -- 3. Headline Deficit: Contributions from Automatic Stabilizers and Discretionary Measures -- 4. Up-front Government Financing Need to Shore Up the Financial Sector -- 5. From Credit Risk to Sovereign Risk: The Case of Ireland -- 6. Sovereign Spreads and Financial EDFs in Euro Area Countries -- 7. Estimated Common Component in Sovereign Spreads -- 8. A Preliminary Look at the Determinants of Spreads Behavior -- 9. Contributions to the Change in Spreads, January 2003-January 2009 -- 10. Contributions to the Change in Spreads, January 2003-March 2009 -- References. 330 3 $aWhile the use of public resources is critical to cushion the impact of the financial crisis on the euro-area economy, it is key that the entailed fiscal costs not be seen by markets as undermining fiscal sustainability. From this perspective, to what extent do movements in euro area sovereign spreads reflect country-specific solvency concerns? In line with previous studies, the paper suggests that euro area sovereign risk premium differentials tend to comove over time and are mainly driven by a common time-varying factor, mimicking global risk repricing. Since October 2008, however, there is evidence that markets have become progressively more concerned about the potential fiscal implications of national financial sectors' frailty and future debt dynamics. The liquidity of sovereign bond markets still seems to play a significant (albeit fairly limited) role in explaining changes in euro area spreads. 410 0$aIMF Working Papers; Working Paper ;$vNo. 2009/222 606 $aGlobal Financial Crisis, 2008-2009 606 $aFinancial crises$zEuropean Union countries$xEconometric models 606 $aRisk management$zEuropean Union countries$xEconometric models 606 $aFinance: General$2imf 606 $aFinancial Risk Management$2imf 606 $aInvestments: General$2imf 606 $aInvestments: Bonds$2imf 606 $aIndustries: Financial Services$2imf 606 $aGeneral Financial Markets: General (includes Measurement and Data)$2imf 606 $aInvestment$2imf 606 $aCapital$2imf 606 $aIntangible Capital$2imf 606 $aCapacity$2imf 606 $aFinancial Crises$2imf 606 $aFinancial Institutions and Services: General$2imf 606 $aInvestment & securities$2imf 606 $aMacroeconomics$2imf 606 $aFinance$2imf 606 $aEconomic & financial crises & disasters$2imf 606 $aSovereign bonds$2imf 606 $aReturn on investment$2imf 606 $aSecurities markets$2imf 606 $aFinancial crises$2imf 606 $aFinancial sector$2imf 606 $aBonds$2imf 606 $aSaving and investment$2imf 606 $aCapital market$2imf 606 $aFinancial services industry$2imf 607 $aIreland$2imf 615 0$aGlobal Financial Crisis, 2008-2009. 615 0$aFinancial crises$xEconometric models. 615 0$aRisk management$xEconometric models. 615 7$aFinance: General 615 7$aFinancial Risk Management 615 7$aInvestments: General 615 7$aInvestments: Bonds 615 7$aIndustries: Financial Services 615 7$aGeneral Financial Markets: General (includes Measurement and Data) 615 7$aInvestment 615 7$aCapital 615 7$aIntangible Capital 615 7$aCapacity 615 7$aFinancial Crises 615 7$aFinancial Institutions and Services: General 615 7$aInvestment & securities 615 7$aMacroeconomics 615 7$aFinance 615 7$aEconomic & financial crises & disasters 615 7$aSovereign bonds 615 7$aReturn on investment 615 7$aSecurities markets 615 7$aFinancial crises 615 7$aFinancial sector 615 7$aBonds 615 7$aSaving and investment 615 7$aCapital market 615 7$aFinancial services industry 676 $a332.042 700 $aZoli$b Edda$01111469 701 $aSgherri$b Silvia$01657742 712 02$aInternational Monetary Fund.$bEuropean Dept. 801 0$bDcWaIMF 906 $aBOOK 912 $a9910828554103321 996 $aEuro Area Sovereign Risk During the Crisis$94117244 997 $aUNINA