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During the last crisis, developed economies’ sovereign Credit Default Swap (hereafter CDS) premia have gained in importance as a tool for approximating credit risk. In this paper, we fit a dynamic factor model to decompose the sovereign CDS spreads of ten OECD economies into three components:...
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This paper reviews the impact of the global economic and financial crisis on two distinct emerging market regions: Central, Eastern and Southeastern Europe (CESEE) and Latin America. Similar to other emerging economies, both regions were initially surprisingly resilient as the crisis gathered...
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The fallout from the 2008 financial crisis has been particularly acute in the euro area Member States of the south-western rim and in the new EU Member States, due to their previously accumulated macroeconomic and financial imbalances. The perception that the euro environment provided a solid...
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We propose an econometric analysis of the evolution of bank credit to the private sector in order to describe credit … Spain in 2010:I; and United States in 2009:IV). The analysis also uncovers a systematic cyclical pattern in the bank lending … restrictions in bank lending: 1974-75, 1980-82, 1991-93, 2001-02 and from 2008 to the end of the sample. …
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