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dc.contributor.authorGroba, Jonatan
dc.contributor.authorLafuente-Luengo, Juan Angel
dc.contributor.authorSerrano, Pablo
dc.date.accessioned2014-05-19T09:29:46Z
dc.date.available2014-05-19T09:29:46Z
dc.date.issued2013-07
dc.identifier.urihttp://hdl.handle.net/10234/92432
dc.description.abstractFinancially distressed economies inside the European Union (EU) are being blamed for producing a general increase in borrowing costs. This article analyzes the channels of default risk transmission within the EU countries using the information content in the sovereign Credit Default Swap (CDS) market. We proceed in two directions. First, we test the existence of cross-border volatility effects between the central and the peripheral EU countries. Second, we explore the effect of distressed economies on the default and risk premium constituents of sovereign default swaps. We show a significant volatility spillover from distressed to central European Economic and Monetary Union (EMU) economies. This causality pattern leads to a significant impact on the default swap risk premia. On average, the risk premium accounts for approximately 42% of central EMU spreads and 56% of the spreads for those countries outside of the EMU. The peripheral risk also affects the default component of central economies, although its impact is lower.ca_CA
dc.format.extent12 p.ca_CA
dc.format.mimetypeapplication/pdfca_CA
dc.language.isoengca_CA
dc.publisherElsevierca_CA
dc.relation.isPartOfJournal of Banking & Finance Volume 37, Issue 7, July 2013ca_CA
dc.rights.urihttp://rightsstatements.org/vocab/CNE/1.0/*
dc.subjectSovereign CDSca_CA
dc.subjectVolatility transmissionca_CA
dc.subjectDefault risk premiumca_CA
dc.titleThe impact of distressed economies on the EU sovereign marketca_CA
dc.typeinfo:eu-repo/semantics/articleca_CA
dc.identifier.doihttp://dx.doi.org/10.1016/j.jbankfin.2013.02.003
dc.rights.accessRightsinfo:eu-repo/semantics/restrictedAccessca_CA
dc.relation.publisherVersionhttp://www.sciencedirect.com/science/article/pii/S0378426613000782ca_CA
dc.type.versioninfo:eu-repo/semantics/publishedVersion


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