Annaert, Jan; De Ceuster, Marc; Van Roy, Patrick; … - In: Journal of International Money and Finance 32 (2013) C, pp. 444-461
financial crisis, we confirm that the steeply rising CDS spreads are due to increased credit risk. However, individual CDS … liquidity and market wide liquidity premia played a dominant role. In the period before the start of the crisis, our model and …