from Europe, the US and Japan. The model is used to conduct systematic shock simulations and thereby compute a measure of …

of one to two hours in GIIPS countries. By using an exogenous macroeconomic news shock, we can show that, during the …

This paper investigates the effect of European monetary policies on Eurozone countries' sovereign risks. We control for … countries in the Eurozone. The effects are larger after the 2012 Greek debt crisis. When the ECB increases its refinancing rate …

by euro zone member solvency issues. In this paper, we examine the contagion effects between sovereign and bank CDS … effects between sovereign vs. bank default risk. By contrast, since the sovereign debt crisis period we observe significant … dependencies between the regional sovereign CDS and the regional bank CDS in other regions, predominantly for the Asia-Pacific and …