0000000000303583

AUTHOR

Nicola Borri

showing 2 related works from this author

Breakup and Default Risks in the Eurozone

2019

In this paper, we exploit CDS quotes for contracts denominated in different currencies and with different default clauses to estimate the risk of a breakup of the Eurozone and the propagation of breakup and default risks after the COVID-19 shock. Our main result is that the risk of a Eurozone breakup is significant although, quantitatively, it is not larger than in the period before the COVID-19 shock. In addition, we find that an increase in the redenomination risk in one country is associated with an increase in default premia and bond spreads in other Eurozone countries. Finally, we find that a sizeable fraction of the changes in the cost of insuring against redenomination and default re…

Coronavirus disease 2019 (COVID-19)BondDefault riskEconomicsDefaultMonetary economicsBreakupMarket liquiditySSRN Electronic Journal
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Breakup and default risks in the great lockdown

2023

Abstract In this paper, we exploit CDS quotes for contracts denominated in different currencies and with different default clauses to estimate the risk of a breakup of the Eurozone and the propagation of breakup and default risks after the COVID-19 shock. Our main result is that the risk of a Eurozone breakup is significant although, quantitatively, it is not larger than in the period before the COVID-19 shock. In addition, we find that an increase in the redenomination risk in one country is associated with an increase in default premia and bond spreads in other Eurozone countries. Finally, we find that a sizeable fraction of the changes in the cost of insuring against redenomination and d…

CovarEconomics and Econometrics2019-20 coronavirus outbreakCoronavirus disease 2019 (COVID-19)BondDepreciationElastic netCOVID-19Monetary economicsBreakupMarket liquidityShock (economics)redenomination riskdefault riskCoVaRElastic NetCOVID-19Settore SECS-S/06 -Metodi Mat. dell'Economia e d. Scienze Attuariali e Finanz.Default riskRedenomination riskEconomicsDefaultFinanceJournal of Banking & Finance
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