Ei saatavilla suomeksi
Alessandro Fontana
- 20 November 2025
- RESEARCH BULLETIN - No. 137Details
- Abstract
- Euro area insurers manage several trillion euro in assets and take a long‑term investment perspective. To counteract the long period of low interest rates, they have shifted towards holding more alternative and less liquid assets. As a result, their balance sheets have become less liquid and more sensitive to market conditions overall. Meanwhile, their holdings of sovereign bonds show a significant home bias, which may have even increased with quantitative easing. Sovereign bonds also serve as a key source of liquidity for insurers, who sell them to raise liquidity to settle large claims after natural disasters. Thus, liquidity shocks can spill over from insurance to the sovereign debt markets, increasing market volatility. Capital markets union would likely help insurers diversify their bond portfolios and promote cross-country risk sharing.
- JEL Code
- G22 : Financial Economics→Financial Institutions and Services→Insurance, Insurance Companies, Actuarial Studies
E52 : Macroeconomics and Monetary Economics→Monetary Policy, Central Banking, and the Supply of Money and Credit→Monetary Policy
E58 : Macroeconomics and Monetary Economics→Monetary Policy, Central Banking, and the Supply of Money and Credit→Central Banks and Their Policies
- 19 November 2013
- WORKING PAPER SERIES - No. 1613Details
- Abstract
- This paper examines the house price dynamics for thirteen European countries. A Markov-switching error correction model is estimated on house price returns at the country level, with deviations between house prices and fundamentals feeding into the short-run dynamics. The system is assumed to be in either a stable regime, in which deviations from the long-run equilibrium tend to vanish over time, or in an unstable regime, in which no such correction takes place. The analysis yields three sets of results. First, house price returns in Europe are generally characterized by three (high, medium and low) phases; growth rates within regimes differ largely across countries. Second, for some European countries the observed high growth phases are associated with a stable regime. Third, European housing markets have been more in sync with each other since 2000 following a growing trend in the time-span 2002-2006 and a dramatic downturn after the Lehman collapse in 2008 and during the Euro area sovereign debt crisis.
- JEL Code
- G12 : Financial Economics→General Financial Markets→Asset Pricing, Trading Volume, Bond Interest Rates
R11 : Urban, Rural, Regional, Real Estate, and Transportation Economics→General Regional Economics→Regional Economic Activity: Growth, Development, Environmental Issues, and Changes
R31 : Urban, Rural, Regional, Real Estate, and Transportation Economics→Real Estate Markets, Spatial Production Analysis, and Firm Location→Housing Supply and Markets
- 1 December 2010
- WORKING PAPER SERIES - No. 1271Details
- Abstract
- This paper studies the relative pricing of euro area sovereign CDS and the underlying government bonds. Our sample comprises weekly CDS and bond spreads of ten euro area countries for the period from January 2006 to June 2010. We first compare the determinants of CDS spreads and bond spreads and test how the crisis has affected market pricing. Then we analyse the ‘basis’ between CDS spreads and bond spreads and which factors drive pricing differences between the two markets. Our first main finding is that the recent repricing of sovereign credit risk in the CDS market seems mostly due to common factors. Second, since September 2008, CDS spreads have on average exceeded bond spreads, which may have been due to ‘flight to liquidity’ effects and limits to arbitrage. Third, since September 2008, market integration for bonds and CDS varies across countries: In half of the sample countries, price discovery takes place in the CDS market and in the other half, price discovery is observed in the bond market.
- JEL Code
- G00 : Financial Economics→General→General
G01 : Financial Economics→General→Financial Crises