| 来源类型 | Discussion paper |
| 规范类型 | 论文 |
| 来源ID | DP12965 |
| DP12965 The term structure of redenomination risk | |
| Christian Bayer; Alexander Kriwoluzky | |
| 发表日期 | 2018-05-31 |
| 出版年 | 2018 |
| 语种 | 英语 |
| 摘要 | This paper assesses redenomination risk in the euro area. We first estimate daily default-risk-free yield curves for French, German, and Italian bonds that can be redenominated and for bonds that cannot. Then, we extract the compensation for redenomination risk from the yield spreads between these two types of bonds. Redenomination risk primarily shows up at the short end of yield curves. At the height of the euro crisis, spreads between first-year yields were close to 7% for Italy and up to -2% for Germany. The ECB's interventions designed to reduce breakup risk successfully did so for Italy, but increased it for France and Germany. |
| 主题 | International Macroeconomics and Finance ; Monetary Economics and Fluctuations |
| 关键词 | Eurocrisis Redenomination risk Ecb interventions Yield curve |
| URL | https://cepr.org/publications/dp12965 |
| 来源智库 | Centre for Economic Policy Research (United Kingdom) |
| 资源类型 | 智库出版物 |
| 条目标识符 | http://119.78.100.153/handle/2XGU8XDN/541773 |
| 推荐引用方式 GB/T 7714 | Christian Bayer,Alexander Kriwoluzky. DP12965 The term structure of redenomination risk. 2018. |
| 条目包含的文件 | 条目无相关文件。 | |||||
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