Showing 1 - 10 of 17
Persistent link: https://www.econbiz.de/10003438389
Persistent link: https://www.econbiz.de/10010355121
We analyze the cross-border propagation of systemic risk in the international sovereign debt market. Using daily data on CDS spreads for 67 sovereign borrowers from 2002 to 2013 we define sovereign credit events as those in which the spread widens by more than 99.9% of all spread changes within...
Persistent link: https://www.econbiz.de/10013055684
We analyze the channels for the cross-border propagation of sovereign credit risk in the international sovereign debt market. We study sovereign credit contagion through the immediate effects of credit events as defined by CDS spread jumps on the credit spreads of other regional sovereigns and...
Persistent link: https://www.econbiz.de/10013019398
Persistent link: https://www.econbiz.de/10011712035
Persistent link: https://www.econbiz.de/10012174655
Persistent link: https://www.econbiz.de/10011664205
On February 24, 2022, Russia invaded Ukraine. In this paper, we analyze the response of European and worldwide stock markets and a representative sample of commodities to this event and compare it against the recent Covid-19 pandemic and the not-too-distant 2008 global financial crisis. We...
Persistent link: https://www.econbiz.de/10013405641
Persistent link: https://www.econbiz.de/10014457520
Persistent link: https://www.econbiz.de/10008858295