What are the driving factors behind the rise of spreads and CDS of euro-area sovereign bonds? A FAVAR model for Greece and Ireland
Year of publication: |
2014
|
---|---|
Authors: | Apergis, Nicholas ; Mamatzakis, Emmanuel |
Published in: |
International Journal of Economics and Business Research. - Inderscience Enterprises Ltd, ISSN 1756-9850. - Vol. 7.2014, 1, p. 104-120
|
Publisher: |
Inderscience Enterprises Ltd |
Subject: | sovereign debt crisis | spreads | credit default swap | CDS | FAVAR model | Greece | Ireland | Euro Zone | sovereign bonds | factor augmenting vector autoregressive | market liquidity | credit risk |
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