Sovereign debt and systemic risk in the eurozone

Popescu, Alexandra; Turcu, Camélia

doi:10.1016/j.econmod.2016.12.032

Cited by 14 publications

(4 citation statements)

References 19 publications

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“…In the literature, there are many ways to measure sovereign risks (e.g. Popescu & Turcu, 2017). We use the sovereign yield spreads in order to gain access to more available data.…”

Section: Model and Datamentioning

confidence: 99%

Geopolitical risks and financial stress in emerging economies

NguyenHuu,

Örsal

2023

World Economy

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We investigate the impacts of geopolitical risks (GPRs) on financial stress (FS) in major emerging economies from 1985 to 2019. Applying a recently developed panel quantile estimation method, we show that GPRs pose serious risks to the stability of the financial condition in emerging economies. Namely, when FS is already equal to or above average, GPRs intensify this instability to a remarkable degree. Nevertheless, GPRs do not ignite the stress when the financial situation is benign. In emerging economies, foreign exchange markets and, to a lesser extent, the banking industry and the debt market suffer more severe consequences of geopolitical tensions than the stock market. In contrast, advanced economies, represented by the Group of Seven (G7), have witnessed detrimental consequences of GPRs on their stock markets, but negligible effects on other parts of their financial systems.

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“…In the literature, there are many ways to measure sovereign risks (e.g. Popescu & Turcu, 2017). We use the sovereign yield spreads in order to gain access to more available data.…”

Section: Model and Datamentioning

confidence: 99%

Geopolitical risks and financial stress in emerging economies

NguyenHuu,

Örsal

2023

World Economy

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“…The macroeconomic perspective trends in sovereign debt and systematic risk across the EU have been studied recently (Popescu & Turcu, 2017). Italy and Greece were extremely important countries in terms of systematic risks.…”

Section: Literature Reviewmentioning

confidence: 99%

SMEs debt financing in the EU: on the eve of the coronacrisis

Polishchuk

Kornyliuk

Lopashchuk

et al. 2020

Banks and Bank Systems

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SMEs are the main drivers of economic development. As the debt crisis and coronavirus crisis show, despite their importance, they are extremely sensitive to economic downturns. Therefore, SMEs need to be supported through various tools. The paper is aimed at evaluating the SMEs’ bank and governmental support in the northern and southern EU countries in two crisis periods and assessing the financial state of SMEs on the eve of coronacrisis using micro-level data. It was proved that bank loans and credit lines remain the main sources of SMEs’ financing. After the debt crisis, banks are becoming more loyal to SMEs.It was proved that SMEs from the northern EU countries suffered less from the previous crisis and therefore started their recovery earlier than the southern ones in terms of profitability, liquidity and debt burden. In addition, it was shown that both groups on the eve of the new turbulence period were in better financial state compared to the previous debt crisis. The southern EU countries suffered more from both crises. At the same time, due to effective governmental support and bank loyalty, their SMEs entered the coronacrisis at the same level of financial stability as the northern ones. Since the new support measures are concentrated primarily in the banking sector through loan guarantee schemes and reduced interest rates, it is essential to provide debt financing to high-quality borrowers and avoid the debt crisis in southern counties.

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“…However, several authors rely on this approach to describe the time-varying nexus between macroeconomic variables. These applications include modelling the dynamic relationship between inflation, output and uncertainty ( Jones and Olson, 2013 ), time-varying exchange-rate pass-through ( Ozkan and Erden, 2015 ), business cycle synchronization across countries ( Lukmanova and Tondl, 2017 ), systemic risk ( Popescu and Turcu, 2017 ) or the relation between money and output ( Ghosh and Parab, 2019 ).…”

Section: Introductionmentioning

confidence: 99%

Evidence on time-varying inflation synchronization

Szafranek

2021

Economic Modelling

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Most studies on global inflation are conducted on homogeneous, advanced-economy, low-frequency samples and present evidence favouring the global inflation paradigm. I challenge this consensus view by quantifying price co-movements across a large, heterogeneous sample of countries, while accounting for volatility clustering in monthly inflation data. Estimation results broadly validate the global dimension of inflation but reveal that the strength of the link between global and domestic inflation is time-varying. Price co-movements have continued to be strongest for advanced economies and have increased considerably in emerging economies in recent years. However, they have remained feeble for low-income countries in the last two decades. Inflation synchronization tends to increase due to oil price shocks affecting most economies in a similar way, global economic expansions or recessions spilling over across economies and owing to more coordinated monetary policy of major central banks. Thus, marked price co-movements indicate the prevalence of common factors affecting inflation across countries.

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Sovereign debt and systemic risk in the eurozone

Cited by 14 publications

References 19 publications

Geopolitical risks and financial stress in emerging economies

Geopolitical risks and financial stress in emerging economies

SMEs debt financing in the EU: on the eve of the coronacrisis

Evidence on time-varying inflation synchronization

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