EconPapers    
Economics at your fingertips  
 

Redenomination-risk spillovers in the Eurozone

Nicola Borri

Economics Letters, 2019, vol. 174, issue C, 173-178

Abstract: In this paper we use sovereign quanto-CDS spreads as proxy for redenomination-risk in the Eurozone, i.e., the risk of a sovereign default obtained by the redenomination of debt in a different currency. Quanto-CDS spreads are the difference between the CDS quotes in U.S. dollars and euros. We capture spillovers with ΔCoVaR, a risk-indicator proposed by Adrian and Brunnermeier (2016), that measures the difference between the value-at-risk of country i conditional on a state of distress in country j and the median state. Our sample starts on the onset of the Great Recession. We find that Belgium, Ireland, Italy and Spain are the only Eurozone countries exposed to redenomination-risk spillovers. However, in the shorter post-OMT sample, the only vulnerable countries are Italy and Spain.

Keywords: Redenomination risk; Credit default swap; Quanto-CDS (search for similar items in EconPapers)
JEL-codes: G1 G15 F3 F34 (search for similar items in EconPapers)
Date: 2019
References: View references in EconPapers View complete reference list from CitEc
Citations: Track citations by RSS feed

Downloads: (external link)
http://www.sciencedirect.com/science/article/pii/S0165176518304713
Full text for ScienceDirect subscribers only

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:eee:ecolet:v:174:y:2019:i:c:p:173-178

DOI: 10.1016/j.econlet.2018.11.013

Access Statistics for this article

Economics Letters is currently edited by Economics Letters Editorial Office

More articles in Economics Letters from Elsevier
Bibliographic data for series maintained by Haili He ().

 
Page updated 2020-07-03
Handle: RePEc:eee:ecolet:v:174:y:2019:i:c:p:173-178