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Euro area CDS spreads in the crisis: The role of open market operations and contagion. ESRI working paper no. 449, February 2013

Gerlach-Kristen, Petra (2013) Euro area CDS spreads in the crisis: The role of open market operations and contagion. ESRI working paper no. 449, February 2013. [Working Paper]

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    Abstract

    This paper studies euro area CDS spreads during the financial crisis. We examine the impact of the crisis on both commercial banks and sovereigns, and focus on two questions. First, have the ECB’s open market operations reduced market stress? It seems that large repo volumes, especially if credited to banks the same day, helped initially, and that the announcement of the Securities Market Programme also calmed markets. Asset purchase volumes do not seem to matter directly. Second, was there contagion among and between banks and sovereigns? We find evidence for both. Interestingly, sovereign CDS spreads appear immune after April 2010. We argue that this might reflect the ECB’s efforts to stop contagion during the euro crisis.

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    Item Type: Working Paper
    Uncontrolled Keywords: CDS spreads, ECB, sovereign debt crisis, open market operations, contagion
    Subjects for non-EU documents: EU policies and themes > Policies & related activities > economic and financial affairs > banks/financial markets
    EU policies and themes > Policies & related activities > economic and financial affairs > EMU/EMS/euro
    EU policies and themes > Policies & related activities > economic and financial affairs > financial crisis 2008-on/reforms/economic governance
    Subjects for EU documents: UNSPECIFIED
    EU Series and Periodicals: UNSPECIFIED
    EU Annual Reports: UNSPECIFIED
    Series: Series > Economic and Social Research Institute (ESRI), Dublin > ESRI Working Papers
    Depositing User: Phil Wilkin
    Official EU Document: No
    Language: English
    Date Deposited: 09 Jul 2019 16:56
    Number of Pages: 28
    Last Modified: 09 Jul 2019 16:56
    URI: http://aei.pitt.edu/id/eprint/98268

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