Tag Archive | "Italia"

Paper: Euro, explicando el spread

Paper: Euro, explicando el spread

The euro area sovereign debt crisis safe haven, credit rating agencies and the spread of the fever from Greece, Ireland and Portugal

Abstract

Since the intensification of the crisis in September 2008, all euro area long term government bond yields relative to the German Bund have been characterized by highly persistent processes with upward trends for countries with weaker fiscal fundamentals. Looking at the daily period 1 September 2008 – 4 August 2011, we find that three factors can explain the recorded developments in sovereign spreads: (i) an aggregate regional risk factor, (ii) the country-specific credit risk and (iii) the spillover effect from Greece. Specifically, higher risk aversion has increased the demand for the Bund and this is behind the pricing of all euro area spreads, including those for Austria, Finland and the Netherlands. Country-specific credit ratings have played a key role in the developments of the spreads for Greece, Ireland, Portugal and Spain. Finally, the rating downgrade in Greece has contributed to developments in spreads of countries with weaker fiscal fundamentals: Ireland, Portugal, Italy, Spain, Belgium and France.

Link al Paper

Posted in Crisis, Gaston Besanson, PaperComments (0)

Gráfico du Jour: ¿Donde estamos parados?

Gráfico du Jour: ¿Donde estamos parados?

(Fuente Mc Kinsey, círculos de colores QFC)

Posted in CrisisComments (0)

Gráfico du Jour: exposición neta CDS, una linda perspectiva

Gráfico du Jour: exposición neta CDS, una linda perspectiva

(Fuente: Depository Trust & Clearing Corp., via Business Week)

Posted in Crisis, Fixed Income, TradingComments (0)

Gráfico du Jour: Siguiente ficha en el domino, Italia.

Gráfico du Jour: Siguiente ficha en el domino, Italia.

(Fuente: DTCC & Bloomberg, via Zero Hedge)

Posted in Crisis, Fixed Income, TradingComments (0)

Tabla du Jour: PIIGS y sus necesidades financieras

Tabla du Jour: PIIGS y sus necesidades financieras

(Fuente: Nomura, via FT Alphaville)

Posted in Crisis, Fixed IncomeComments (0)

Gráfico du Jour: PIIGS en perspectiva

Gráfico du Jour: PIIGS en perspectiva

(Fuente: The Economist)

Posted in Crisis, Fixed Income, TradingComments (0)

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