https://www.esm.europa.eu/publications/cross-border-capital-flows-and-capital-markets-union-quo-vadis-europe Download PDF: Discussion Paper 3 This discussion paper gathers together the contributions made at a seminar on cross-border capital flows and capital markets union organised by and held at the ESM in December 2017. The contributions reflect the state of affairs at the time of the event. Authors...

https://www.esm.europa.eu/publications/sovereign-credit-ratings-under-fiscal-uncertainty Download PDF: Working Paper 32 This paper finds that fiscal uncertainty is an important determinant of sovereign credit ratings, and can explain why ratings often appear pro-cyclical during crisis periods. Author: Arno Hantzsche Abstract: This paper studies the response of credit rating agencies to...

https://www.esm.europa.eu/publications/imf%E2%80%93rfa-collaboration-motives-state-play-and-way-forward Download PDF: Discussion paper 4 This joint staff paper sheds light on the existing cooperation between the International Monetary Fund (IMF) and Regional Financing Arrangements (RFAs) and suggests further avenues to enhance their work together. It offers a collective RFA reply to the IMF’s recent...

https://www.esm.europa.eu/publications/risk-management-sovereign-financing-within-debt-sustainability-framework Download PDF: Working Paper 31 This paper presents a model for analysing debt sustainability by optimizing debt-financing decisions to balance borrowing costs with refinancing risks Authors: Marialena Athanasopoulou (ESM), Andrea Consiglio (University of Palermo), Aitor Erce (ESM), Angel Gavilan...

https://www.esm.europa.eu/publications/esm-annual-report-2017 Download PDF: ESM Annual Report 2017 The annual report contains a description of the ESM's policies, activities, financial statements and economic developments in 2017. Additionally, it contains an external auditor's report and a report of the Board of Auditors. Excerpt of the Message from the...

https://www.esm.europa.eu/publications/fiscal-multipliers-and-foreign-holdings-public-debt Download PDF: Working Paper 30 This paper finds that the effects of fiscal expansions on economic activity are stronger when governments have access to foreign sources of finance. Authors: Fernando Broner (CREI, Universitat Pompeu Fabra, and Barcelona GSE), Daragh Clancy (ESM), Alberto Martin (CREI...

https://www.esm.europa.eu/publications/pricing-and-hedging-gdp-linked-bonds-incomplete-markets Download PDF: Working Paper 29 This paper shows how to design, price, and hedge GDP-linked bonds and provides favourable evidence for their use, based on results for both advanced economies and emerging markets. Authors: Andrea Consiglio (University of Palermo) and Stavros A. Zenios (University of...

https://www.esm.europa.eu/publications/external-debt-composition-and-domestic-credit-cycles Download PDF: Working Paper 28 This paper finds that the composition of a country’s external debt provides valuable information about the likelihood of domestic credit booms and busts. Authors: Stefan Avdjiev (Bank for International Settlements), Stephan Binder (Bank for International Settlements)...

https://www.esm.europa.eu/publications/sovereign-ratings-analysis-degree-changes-and-source-moody%E2%80%99s-judgement Download PDF: Working Paper 27 This paper analyses Moody’s sovereign credit ratings and finds that the rating agency applies judgement to varying degrees across regions, income, rating levels and other factors Authors: Rudolf Alvise Lennkh and Edmund Moshammer (European Stability Mechanism) Abstract...

https://www.esm.europa.eu/publications/does-exchange-rate-depreciation-have-contractionary-effects-firm-level-investment Download PDF: Working Paper 26 Does exchange rate depreciation have contractionary effects on firm-level investment? The implications of alternative types of bond financing This paper shows that exchange rate depreciations can have a contractionary impact on investment spending when firms hold...

https://www.esm.europa.eu/investors/esm-and-efsf/esm-investor-relations-presentation The Investor Presentation gives an overview of topics that are relevant to investors evaluating ESM and/or EFSF instruments, such as:EFSF & ESM: Key features, structure and instrumentsEFSF & ESM: Lending and funding activitiesWhy invest in EFSF & ESM?EFSF & ESM recent transactions & performanceTo...

https://www.esm.europa.eu/publications/analysing-cross-currency-basis-spreads Download PDF: Working Paper 25 This paper studies the drivers behind the EUR/USD basis swap spreads widening Authors: Jaroslav Baran and Jiří Witzany Abstract: This paper investigates the drivers of cross-currency basis spreads, which were historically close to zero but have widened significantly...

https://www.esm.europa.eu/publications/debt-sustainability-focus-flows The EFSF/ESM provide loans to euro area countries that have lost sustainable market access or suffered shocks to their banking systems when these problems could spill over to other countries and even destabilise the entire single currency area. The EFSF/ESM have lent substantial funds in six...

https://www.esm.europa.eu/publications/accelerating-non-performing-loan-resolution NPLs in the euro area remain a barrier to full recovery and a potential source of instability to the financial system. They represent a problematic issue overall as they tie up bank capital, put pressure on banks’ profitability and funding costs, and burden corporates and households with at least...

https://www.esm.europa.eu/publications/regaining-competitiveness-programme-country-experiences The five euro area countries that requested financial assistance from the EFSF or ESM suffered from a number of problems. One key weakness that led some of them down the wrong path economically: a structural imbalance in their growth model. This model relied strongly on domestic demand fuelled by...

https://www.esm.europa.eu/publications/debt-stocks-meet-gross-financing-needs-flow-perspective-sustainability Download PDF: Working Paper 24 This paper shows that changes in gross financing needs have a significant effect on borrowing costs when debt stocks are high Authors: Carmine Gabriele, Aitor Erce, Marialena Athanasopoulou, Juan Rojas Abstract: It is well known that no single metric can provide...

https://www.esm.europa.eu/publications/esm-annual-report-2016 Download PDF: ESM Annual Report 2016 The annual report contains a description of the ESM's policies, activities, financial statements and economic developments in 2016. Additionally, it contains an external auditor's report and a report of the Board of Auditors. Excerpt of the Message from the...

https://www.esm.europa.eu/publications/comprehensive-scorecard-assessing-sovereign-vulnerabilities Download PDF: Working Paper 23 This paper presents a new framework for the early identification of sovereign vulnerabilities, based on a wide set of economic and financial indicators Authors: Rudolf Alvise Lennkh, Edmund Moshammer (European Stability Mechanism) and Vilém Valenta (European Stability...

https://www.esm.europa.eu/publications/selective-sovereign-defaults Author: Aitor Erce Abstract: Breaches in intercreditor equity are common ground during sovereign debt restructurings. In this paper I explore residence-based breaches by studying patterns of discrimination between residents and foreign creditors during debt restructurings. I frame the analysis with...

https://www.esm.europa.eu/publications/does-imf%E2%80%99s-official-support-affect-sovereign-bonds-maturities Author: Aitor Erce Abstract: This paper looks at whether the tendency of some governments to borrow short term is reinforced by financial support from the International Monetary Fund. I first present a model of sovereign debt issuance at various maturities featuring endogenous liquidity crises and...