Special Issue "Sovereign Risk in Europe and Euro Currency: Still a Challenging Opportunity for the Euro Area Development"

A special issue of International Journal of Financial Studies (ISSN 2227-7072).

Deadline for manuscript submissions: closed (30 June 2015).

Special Issue Editors

Guest Editor
Prof. Dr. Marida Bertocchi Website E-Mail
University of Bergamo, via Salvecchio 19, 24129 Bergamo, Italy
Fax: +35 205 2549
Interests: Eurobonds; hedging; capacity planning
Guest Editor
Rita L. D'Ecclesia Website E-Mail
Department of Methods and Models for Economics and Finance, Sapienza Università di Roma, Via del Castro Laurenziano 9, 00161 Rome, Italy
Interests: commodities; energy price; risk management

Special Issue Information

Dear Colleagues,

The remarkable efforts to rebalance high Debt-to GDP ratios by several EU countries have enormously increased the importance of European Central Bank (ECB) monetary interventions in the Euro area. This Special Issue is devoted to the consequences of strong intervention and possible solutions to contain the crisis and comment on the growing chances of Euro currency. Empirical analysis of the present situation to provide a better understanding of the problem and support possible solutions, as well as the various types of political and economic instruments to adopt, represent key topics for submissions.

Included topics:

  • Sovereign bond market
  • Sovereign risk contagion in the Euro zone
  • ECB securities markets program
  • Liquidity and credit risk premia
  • ECB intervention
  • Sovereign Credit Default Swap comovements in Europe
  • Price-based indicators£
  • Developments in the rate-exchange of Euro
  • Euro in capital flows

Prof. Dr. Marida Bertocchi
Prof. Dr. Rita L. D’Ecclesia
Guest Editors

Manuscript Submission Information

Manuscripts should be submitted online at www.mdpi.com by registering and logging in to this website. Once you are registered, click here to go to the submission form. Manuscripts can be submitted until the deadline. All papers will be peer-reviewed. Accepted papers will be published continuously in the journal (as soon as accepted) and will be listed together on the special issue website. Research articles, review articles as well as short communications are invited. For planned papers, a title and short abstract (about 100 words) can be sent to the Editorial Office for announcement on this website.

Submitted manuscripts should not have been published previously, nor be under consideration for publication elsewhere (except conference proceedings papers). All manuscripts are thoroughly refereed through a single-blind peer-review process. A guide for authors and other relevant information for submission of manuscripts is available on the Instructions for Authors page. International Journal of Financial Studies is an international peer-reviewed open access quarterly journal published by MDPI.

Please visit the Instructions for Authors page before submitting a manuscript. The Article Processing Charge (APC) for publication in this open access journal is 1000 CHF (Swiss Francs). Submitted papers should be well formatted and use good English. Authors may use MDPI's English editing service prior to publication or during author revisions.


Keywords

  • contagion
  • sovereign risk
  • financial and economic indicators
  • Euro currency

Published Papers (4 papers)

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Research

Open AccessArticle
TARGET2 Imbalances and the ECB as Lender of Last Resort
Int. J. Financial Stud. 2015, 3(4), 482-509; https://doi.org/10.3390/ijfs3040482 - 23 Oct 2015
Cited by 1
Abstract
This paper analyses the issue of the dynamics of the TARGET2 system balances during the sovereign debt crisis, when some countries registered a decisive inflow of the central bank liquidity and others showed an outflow. The dynamics in the TARGET2 are here explained [...] Read more.
This paper analyses the issue of the dynamics of the TARGET2 system balances during the sovereign debt crisis, when some countries registered a decisive inflow of the central bank liquidity and others showed an outflow. The dynamics in the TARGET2 are here explained as being due to a fall in the level of confidence in the capacity of the Economic and Monetary Union to survive, rather than to disparities in the level of competitiveness among countries of the Eurozone. This crisis of confidence has to be considered as the consequence of the implicit refusal of the European institutions to create a mechanism working as lender of last resort for the euro area member States; indeed, only when the ECB took this responsibility by launching the Outright Monetary Transactions clear signs of improvement were observed in the sovereign debt crisis. Full article
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Open AccessArticle
The Swiss Black Swan Bad Scenario: Is Switzerland Another Casualty of the Eurozone Crisis?
Int. J. Financial Stud. 2015, 3(3), 351-380; https://doi.org/10.3390/ijfs3030351 - 12 Aug 2015
Cited by 1
Abstract
Financial disasters to hedge funds, bank trading departments and individual speculative traders and investors seem to always occur because of non-diversification in all possible scenarios, being overbet and being hit by a bad scenario. Black swans are the worst type of bad scenario: [...] Read more.
Financial disasters to hedge funds, bank trading departments and individual speculative traders and investors seem to always occur because of non-diversification in all possible scenarios, being overbet and being hit by a bad scenario. Black swans are the worst type of bad scenario: unexpected and extreme. The Swiss National Bank decision on 15 January 2015 to abandon the 1.20 peg against the Euro was a tremendous blow for many Swiss exporters, but also Swiss and international investors, hedge funds, global macro funds, banks, as well as the Swiss central bank. In this paper, we discuss the causes for this action, the money losers and the few winners, what it means for Switzerland, Europe and the rest of the world, what kinds of trades were lost and how they have been prevented. Full article
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Open AccessArticle
Determinants of the Government Bond Yield in Spain: A Loanable Funds Model
Int. J. Financial Stud. 2015, 3(3), 342-350; https://doi.org/10.3390/ijfs3030342 - 30 Jul 2015
Cited by 2
Abstract
This paper applies demand and supply analysis to examine the government bond yield in Spain. The sample ranges from 1999.Q1 to 2014.Q2. The EGARCH model is employed in empirical work. The Spanish government bond yield is positively associated with the government debt/GDP ratio, [...] Read more.
This paper applies demand and supply analysis to examine the government bond yield in Spain. The sample ranges from 1999.Q1 to 2014.Q2. The EGARCH model is employed in empirical work. The Spanish government bond yield is positively associated with the government debt/GDP ratio, the short-term Treasury bill rate, the expected inflation rate, the U.S. 10 year government bond yield and a dummy variable representing the debt crisis and negatively affected by the GDP growth rate and the expected nominal effective exchange rate. Full article
Open AccessArticle
Systemic Risk in the European Union: A Network Approach to Banks’ Sovereign Debt Exposures
Int. J. Financial Stud. 2015, 3(3), 244-279; https://doi.org/10.3390/ijfs3030244 - 23 Jul 2015
Cited by 3
Abstract
This paper draws on network theory to investigate European banks’ sovereign debt exposures. Banks’ holdings of sovereign debt build a network of financial linkages with European countries that exhibits a long-tail distribution of node degrees. A highly connected network core of 15 banks [...] Read more.
This paper draws on network theory to investigate European banks’ sovereign debt exposures. Banks’ holdings of sovereign debt build a network of financial linkages with European countries that exhibits a long-tail distribution of node degrees. A highly connected network core of 15 banks is identified. These banks accounted for the majority of sovereign debt investments between December 2010 and December 2013 but exhibited only average and sometimes even below average capitalizations. Consequently, they constituted a potential source and transmission channel of systemic risk, especially due to their proneness to portfolio contagion. In a complementary regression analysis, the effect of counterparty risk on Credit Default Swap (CDS) spreads of 15 EU sovereigns is investigated. Among the banks exposed to the debt of a particular issuer, the biggest institutions in terms of their own asset sizes are identified and some of their balance sheet characteristics included into the regression. The analysis finds that the banks’ implied volatilities had a significant and increasing effect on CDS spreads during the recent crisis years, providing evidence of the presence of counterparty risk and its effect on EU sovereign debt pricing. Furthermore, the role of the domestic financial sectors is assessed and found to have affected the CDS spreads. Full article
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