Full 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.
Contents
Introduction and Summary.- Kapitalmarktzins und Risikoprämie: gleich- oder gegenläufig?.- The Relationship between Risk Premium and Risk-Free Interest Rate: Evidence from Sovereign CDS Spreads.- Credit Risk Premiums of European Companies.- PEPP and NGEU: Short-Term Reactions to the Monetary and Fiscal Policy Paradigm Shift in Light of the Lagarde Gaffe.- Staatsanleiherenditen in der Eurozone: Anzeichen für eine fiskalische Dominanz?.- Bibliography.
