Discover and read the best of Twitter Threads about #CoVaR
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1/n Happy to share a new working paper (w/A. Consiglio and G. Bonaccolto) on "Breakup and Defaul Risks in the Great Lockdown" papers.ssrn.com/sol3/papers.cf… #EconTwitter [thread]
2/n Since the #Covid19 shock, fears of a Eurozone breakup have once again invaded the nightmares of many investors. We exploit a contractual difference between CR and CR14 sovereign CDS contracts to identify redenomination risk for France, Italy and Germany.
3/n Since January 1, 2020 redenomination risk for all three countries has increased. We decompose this risk in a direct redenomination premium, and in a conditional currency premium (ie, expected euro depreciation conditional to credit event). In the figure Italy. 
