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Short-term determinants of the idiosyncratic sovereign risk premium: a regime-dependent analysis for european credit default swaps

Calice, Giovanni; Miao, RongHui; Štěrba, Filip; … - 2014

This study investigates the dynamics of the sovereign CDS term premium for five European countries. The CDS term premium can be regarded as a forward-looking measure of idiosyncratic sovereign default risk as perceived by financial markets. Using a Markov-switching unobserved component model, we...

Persistent link: https://www.econbiz.de/10011605762

Short-term determinants of the idiosyncratic sovereign risk premium : a regime-dependent analysis for european credit default swaps

Calice, Giovanni; Miao, Rong Hui; Štěrba, Filip; … - 2014

Persistent link: https://www.econbiz.de/10010441207

Short-term determinants of the idiosyncratic sovereign risk premium : a regime-dependent analysis for European credit default swaps; N°1717, August 2014

Calice, Giovanni (contributor); Miao, Rong Hui (contributor) - European Central Bank - 2014

This study investigates the dynamics of the sovereign CDS term premium for five European countries. The CDS term premium can be regarded as a forward-looking measure of idiosyncratic sovereign default risk as perceived by financial markets. Using a Markov-switching unobserved component model, we...

Persistent link: https://www.econbiz.de/10015301838

Short-term determinants of the idiosyncratic sovereign risk premium : a regime-dependent analysis for European credit default swaps

Calice, Giovanni; Miao, Rong Hui; Štěrba, Filip; … - 2013

Persistent link: https://www.econbiz.de/10010238575

The subprime asset-backed securities market and the equity prices of large complex financial institutions

Calice, Giovanni - In: Journal of international financial markets, … 21 (2011) 4, pp. 585-604

Persistent link: https://www.econbiz.de/10009309048

CDX and iTraxx and their relation to the systemically important financial institutions : evidence from the 2008 - 2009 financial crisis

Calice, Giovanni - In: Journal of international financial markets, … 32 (2014), pp. 20-37

Persistent link: https://www.econbiz.de/10011299808

Inflation dynamics and the new Keynesian Phillips Curve in four Central European countries

Vašíček, Bořek - In: Emerging markets finance & trade : a journal of the … 47 (2011) 5, pp. 71-100

Persistent link: https://www.econbiz.de/10009503050

Monetary policy rules and inflation processes in open emerging economies : evidence from twelve new EU members

Vašíček, Bořek - In: Eastern European economics 48 (2010) 4, pp. 36-58

Persistent link: https://www.econbiz.de/10009312273

Is monetary policy in the new EU member states asymmetric?

Vašíček, Bořek - In: Economic systems 36 (2012) 2, pp. 235-263

Persistent link: https://www.econbiz.de/10009671910

Is monetary policy in the EU member states asymmetric?

Vašíček, Bořek - 2011

Persistent link: https://www.econbiz.de/10009407472

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