The impact of distressed economies on the EU sovereign market
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Altres documents de l'autoria: Groba, Jonatan; Lafuente-Luengo, Juan Angel; Serrano, Pablo
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http://dx.doi.org/10.1016/j.jbankfin.2013.02.003 |
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Títol
The impact of distressed economies on the EU sovereign marketData de publicació
2013-07Editor
ElsevierTipus de document
info:eu-repo/semantics/articleVersió de l'editorial
http://www.sciencedirect.com/science/article/pii/S0378426613000782Versió
info:eu-repo/semantics/publishedVersionParaules clau / Matèries
Resum
Financially 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 ... [+]
Financially 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. [-]
Publicat a
Journal of Banking & Finance Volume 37, Issue 7, July 2013Drets d'accés
http://rightsstatements.org/vocab/CNE/1.0/
info:eu-repo/semantics/restrictedAccess
info:eu-repo/semantics/restrictedAccess
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