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Sovereign risk dynamics in the EU : the time varying relevance of fiscal and external (im)balances

Afonso, António; Alves, José; Monteiro, Sofia - 2024

-step approach to assess the impact of fiscal and external sustainability on sovereign risk dynamics for a panel of 27 European … sustainability, through the cointegration between government revenues and expenditures, and of external sustainability, derived from … risk, proxied by 10-year CDS and CDS spreads (against the US) making use of Weighted Least Squares (WLS) analysis …

Persistent link: https://www.econbiz.de/10014486806

Spillovers from one country's sovereign debt to CDS (credit default swap) spreads of others during the European crisis : a spatial approach

Kışla, Gül Huyugüzel; Muradoğlu, Gülnur; Özlem … - In: The journal of asset management : a major new, … 23 (2022) 4, pp. 277-296

Persistent link: https://www.econbiz.de/10013391984

Sovereign bond spreads and CDS premia in the Eurozone : a causality analysis

Téllez, Cecilia; Martín García, Margarita; Ramón … - In: Revista de métodos cuantitativos para la economía y … 30 (2020), pp. 58-78

credit default swaps (CDS) to determine whether they are useful tools for the measurement of the sovereign risk either … separately or by taking into account the joint evolution of their values. The data refer to ten countries in the Eurozone along … 2008-2016. By applying the causality Granger test for these variables, after six different ways of proxy, CDS premia are …

Persistent link: https://www.econbiz.de/10012436652

Conditional dependence of US and EU sovereign CDS : a time-varying copula-based estimation

Atil, Ahmed; Bradford, Marc; El Marzougui, Abdelaziz; … - In: Finance research letters 19 (2016), pp. 42-53

Persistent link: https://www.econbiz.de/10011657442

Mispricing of debt expansion in the eurozone sovereign credit market

Lotfi, Somayyeh; Milidonis, Andreas; Zenios, Stauros Andrea - In: Journal of financial stability 70 (2024), pp. 1-16

Persistent link: https://www.econbiz.de/10014490472

Sovereign and bank interdependencies : evidence from the CDS market

Yu, Sherry - In: Research in international business and finance 39 (2017), pp. 68-84

Persistent link: https://www.econbiz.de/10011876438

The zero risk fallacy? : banks' sovereign exposure and sovereign risk spillovers

Kirschenmann, Karolin; Korte, Josef; Steffen, Sascha - 2017

CDS spreads and facilitates cross-border financial-crisis spillovers. Risks spill over from risky periphery sovereigns to …

Persistent link: https://www.econbiz.de/10011764975

Tail Dependence of Eurozone Sovereign CDS Spreads

Arakelian, Veni - 2018

Using a flexible threshold copula model, we investigate the pairwise tail dependence of Eurozone sovereign credit …

Persistent link: https://www.econbiz.de/10012914425

Impacts of the financial crisis on eurozone sovereign CDS spreads

Gündüz, Yalın; Kaya, Orcun - In: Journal of international money and finance 49 (2014), pp. 425-442

Persistent link: https://www.econbiz.de/10010464931

The ICA-based factor decomposition of the Eurozone sovereign CDS spreads

Fabozzi, Frank J.; Giacometti, Rosella; Tsuchida, Naoshi - 2015

Persistent link: https://www.econbiz.de/10011375946