What can EMU countries' sovereign bond spreads tell us about market perceptions of default probabilities during the recent financial crisis?
Year of publication: |
2010
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Authors: | Dötz, Niko ; Fischer, Christoph |
Institutions: | Deutsche Bundesbank |
Subject: | Sovereign bond spread | GARCH-in-mean | default probability |
Extent: | application/pdf |
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Series: | |
Type of publication: | Book / Working Paper |
Language: | English |
Notes: | Number 2010,11 |
Classification: | E43 - Determination of Interest Rates; Term Structure Interest Rates ; G15 - International Financial Markets ; C32 - Time-Series Models ; H63 - Debt; Debt Management ; F36 - Financial Aspects of Economic Integration |
Source: |
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Dötz, Niko, (2010)
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Dötz, Niko, (2010)
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