Calice, Giovanni; Miao, RongHui; Štěrba, Filip; … - European Central Bank - 2014
This study investigates the dynamics of the sovereign CDS term premium for five European countries. The CDS term …. Using a Markov-switching unobserved component model, we decompose the daily CDS term premium into two components of … the main roles in sovereign risk evaluation in real time. Moreover, we also find that the CDS term premium response to …