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Essays on Risk Premiums derived from Credit Default Swap Spreads



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Springer Gabler


Paru le : 2024-10-04



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Description

The book provides comprehensive empirical analyses on two overarching research topics with a focus on Europe, covering the period from the global financial crisis to the end of 2021, with a special emphasis on the post-European sovereign debt crisis era.
The first research focus addresses the direction of the relationship between the risk premium and the risk-free interest rate. Although this issue is not entirely new, it has gained particular relevance due to the historically low interest rates until the end of 2021. Risk premiums are derived from sovereign and corporate credit default swap (CDS) spreads. The empirical results suggest a positive relationship.
The second research focus is dedicated to effects on the bond and derivatives markets following the ECB's monetary policy measures PSPP, CSPP and PEPP as well as the EU's fiscal policy measure NGEU. Immediate announcement effects can be observed through the PEPP and the NGEU, but also through the so-called Lagarde gaffe. Further investigations point to a search for yield behavior in Eurozone countries following the ECB's announcements of the PSPP and the CSPP. Additional analyses indicate a fiscally dominated ECB from 2015 to 2021.
Pages
207 pages
Collection
n.c
Parution
2024-10-04
Marque
Springer Gabler
EAN papier
9783658461720
EAN PDF
9783658461737
Informations sur l'ebook
Nombre pages copiables
2
Nombre pages imprimables
20
Taille du fichier
3768 Ko
Ce livre est accessible aux handicaps Voir les informations sur l'accessibilité
Prix
116,04 €

Dr. Thomas Jopp studied Industrial Engineering and Business Management and earned his doctorate under the supervision of Prof. Dr. Daniela Lorenz at the Chair of Business Management and Corporate Finance at Julius-Maximilians-Universität Würzburg, Germany.

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