|Περίληψη :||The global financial crisis which emerged after the collapse of Lehmann Brothers brought into the surface the major fiscal deficiencies of several Eurozone governments as a result of poor financial management and scarce liquidity to fund deficits. Until then, sovereigns funded their fiscal gap by issuing debt in the world capital markets as the practice of fiscal debt refinancing. After the collapse of Lehmann, liquidity became so scarce that sovereigns faced serious liquidity problems and in many cases the inability of doing so. In the present paper we examine the degree of ECB success in de – escalating the liquidity crunch of Eurozone members, as this is illustrated by the periphery yield spreads and CDS premia. We use two regression models that potentially capture the effects of ECB expansionary monetary policy in yield spreads and CDS premia. We find strong evidence on the negative impact of ECB decision making policy on yield spreads and negative premia. This is in favor of the hypothesis of ECBs success in contracting yield spreads and CDS premia of the distressed periphery Eurozone countries. Also, we find that ECBs influence on yield spreads and CDS premia is significantly increased regarding the period that followed after the fall of Lehmann and the spread of the credit crisis to Europe and the ECB related explanatory variables capture a greater burden of the variability of yield spreads and CDS premia of the distressed Eurozone countries. Finally, another interesting finding is that the net effect of interest rate cuts and their impact on inflation is negative, meaning that interest rate cuts plus the inflation created by lower cost of funding has a negative impact on yield spreads and CDS premia, overall. The present research is structured as follows: in Chapter 1 we introduce to the background of the credit crisis of 2007, presenting the main focus points regarding this event. On Chapter 2 we present a theoretical background on CDSs and ECB, illustrating apart from the CDS contracts and their pricing a more specific approach to the credit crisis. On Chapter 3 we present the most significant literature review regarding the determinants of yield and credit spreads along with research assessing the effectiveness of ECBs actions to de – escalate the Eurozone credit crunch. On Chapter 4 we explain the methodology we adopted in assessing ECBs success in their crisis management decisions. On Chapter 5 we present the data sample we used throughout this research along with the mining source. On Chapter 6 we present the regression results and we comment on them and infer our findings. On Chapter 7 we provide a conclusion of the present research, summarizing our findings and discuss on their significance as well as presenting ideas for future researchers that could deal with the same subject.|
Διπλωματική εργασία - Οικονομικό Πανεπιστήμιο Αθηνών.