Breuer, Arne; Sauter, Oliver - In: Applied Economics Quarterly (formerly: Konjunkturpolitik) 58 (2012) 1, pp. 1-18
We use quanto credit default swaps to analyse the impact of a credit event in the Eurozone on the Dollar-Euro exchange rate. In light of the European debt crisis, market participants are willing to pay more for protection against a sovereign credit event if it is denominated in US Dollars rather...