Timing Does Matter: Institutional Flaws and the European Debt Crisis

Filoso, Valerio; Panico, Carlo; Papagni, Erasmo; Purificato, Francesco; Suárez, Marta Vázquez

doi:10.1080/09538259.2020.1859717

Cited by 3 publications

(6 citation statements)

References 45 publications

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“…Filoso et al. ( 2021 ) have argued convincingly that real economic growth rates in Ireland, Greece and Spain were among the highest in the Eurozone before 2007 while the ones in Italy and Portugal were among the lowest. Italy has therefore already entered the crisis facing certain economic headwinds.…”

Section: The Recent Crisis Events and The Italian Economymentioning

confidence: 99%

“…In any case, after the sovereign debt default of Greece investors that held Italian government bonds started to have fears about sovereign credit risk and possibly even redenomination risk (see, for example, Sibbertsen et al 2014 ; and Filoso et al. 2021 ). In this context it has to be noted, that redenomination risk is a special type of exchange rate risk (see, for example, Basse et al.…”

Section: The Recent Crisis Events and The Italian Economymentioning

confidence: 99%

“…Filoso et al. ( 2021 ) have stressed that this change in the leadership of the country has helped to calm the turmoil on financial markets but have also pointed out that new problems among European banks (especially in Spain and Cyprus) caused fresh concerns. Investors again seemed to fear a collapse of the financial system in the European Monetary Union.…”

Section: The Recent Crisis Events and The Italian Economymentioning

confidence: 99%

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Dividend signaling or dividend smoothing? New empirical evidence from the italian insurance industry after the global financial crisis

2022

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This empirical study examines the dividend policy of insurance companies in Italy after the Global Financial Crisis. There is clear evidence for dividend signaling in this period of time. Moreover, the relationship between stock prices and dividend payments is analyzed in more detail. Additionally, the paper also discusses macroeconomic and regulatory issues that could be of relevance for the dividend policy of the Italian insurance industry. In this context the study exemplarily discusses the possible role of inflation and of regulatory restrictions on dividend payouts in the financial services industry.

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Section: The Recent Crisis Events and The Italian Economymentioning

confidence: 99%

Section: The Recent Crisis Events and The Italian Economymentioning

confidence: 99%

Section: The Recent Crisis Events and The Italian Economymentioning

confidence: 99%

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Dividend signaling or dividend smoothing? New empirical evidence from the italian insurance industry after the global financial crisis

2022

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“…There is no obvious single event causing or terminating the crisis and consequently often prior papers define slightly different crisis periods. We follow Filoso et al (2017) and define the crisis period from 1 June 2009 to 23 June 2014. The stable period is from 1 January 2015 to 31 December 2017.…”

Section: The 2009-2014 Esdcmentioning

confidence: 99%

Measuring market integration during crisis periods

Qin

Cho

Hyde

2022

Journal of International Financial Markets, Institutions and Mo

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“…This only changed with the introduction of the Outright Monetary Transactions (OMT) which helped to calm the financial markets (see Filoso et al. 2021 ).…”

Section: How Monetary Policy Aims At Combatting Covid-19mentioning

confidence: 99%

Risk premia and the European government bond market: new empirical evidence and some thoughts from the perspective of the life insurance industry

et al. 2021

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We study yield spreads between government bonds in the European Monetary Union. This segment of the global fixed income market is of particular importance for insurance companies in Europe. Our empirical research strategy is inspired by Gunay (2020) who has analyzed the relationship between credit and liquidity risk in the United States using Granger causality tests. More specifically, we employ the procedure developed by Toda and Yamamoto (1995) to test for Granger causality among yield spreads in five different member countries of the European Monetary Union (namely Austria, Belgium, France, Italy and Ireland) relative to Germany. We examine interest rate data from bonds with three different maturities (5, 10 and 30 years). Given the importance of long-term bonds as asset class for European life insurers and pension funds, the empirical results from the often ignored market for government bonds with a maturity of 30 years should be of interest. With regard to long-term sovereign debt, there is no evidence for Granger causality among the time series examined here. Consequently, the risk premia required by investors to hold government bonds of one specific member country of the EMU do not help to forecast the risk premia that have to be paid by other countries. Given the structure of their liabilities, this empirical finding should be of high relevance for portfolio and risk managers in the European life insurance industry and in pension funds. With regard to the yield spreads to be observed in the market for 10-year government bonds, there seems to be no clear picture. Focusing on fixed income securities with a maturity of 5 years, there is one very interesting empirical finding. The test results reported here seem to imply that there is unidirectional Granger causality running from the yield spreads in all other four countries to Austria. Given that Austria is a comparably small country which is assumed to be in a fiscally stable position, this result could be interpreted as evidence for credit risk premia as being helpful to forecast liquidity risk premia in the market for medium-term government bonds issued by member states of the European Monetary Union.

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Timing Does Matter: Institutional Flaws and the European Debt Crisis

Cited by 3 publications

References 45 publications

Dividend signaling or dividend smoothing? New empirical evidence from the italian insurance industry after the global financial crisis

Dividend signaling or dividend smoothing? New empirical evidence from the italian insurance industry after the global financial crisis

Measuring market integration during crisis periods

Risk premia and the European government bond market: new empirical evidence and some thoughts from the perspective of the life insurance industry

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