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Sovereign debt and systemic risk in the eurozone : a macroeconomic perspective

Popescu, Alexandra; Turcu, Camelia - In: Economic modelling 67 (2017), pp. 275-284

Persistent link: https://www.econbiz.de/10011813829

Sovereign risk contagion in the Eurozone

Metiu, Norbert - In: Economics letters 117 (2012) 1, pp. 35-38

Persistent link: https://www.econbiz.de/10009697960

Contagion in the European Sovereign Debt Crisis

Glover, Brent - 2014

default. Specifically, we develop an empirical model, based on the recent theoretical literature on contagion in financial …

Persistent link: https://www.econbiz.de/10013045650

Contagion in the European Sovereign Debt Crisis

Glover, Brent - 2014

default. Specifically, we develop an empirical model, based on the recent theoretical literature on contagion in financial …

Persistent link: https://www.econbiz.de/10012458098

The euro area sovereign debt crisis : can contagion spread from the periphery to the core?

Gorea, Denis; Radev, Deyan - In: International review of economics & finance : IREF 30 (2014), pp. 78-100

Persistent link: https://www.econbiz.de/10010490495

Contagion in the Euro area sovereign CDS market : a spatial approach

Ben Abdallah, Nadia; Dabbou, Halim; Gallali, Mohamed Imen - In: The journal of risk finance : JRF 24 (2023) 5, pp. 614-630

Persistent link: https://www.econbiz.de/10014430827

Transmission of Sovereign Risk in the Euro Crisis

Brutti, Filippo - 2013

We assess the role of financial linkages in the transmission of sovereign risk in the Euro Crisis. Building on the narrative approach by Romer and Romer (1989), we use financial news to identify structural shocks in a vector autoregressive model of daily sovereign CDS premia for eleven European...

Persistent link: https://www.econbiz.de/10013091155

Disentangling Contagion Among Sovereign CDS Spreads During the European Debt Crisis

Broto, Carmen - 2013

of the model to characterize contagion among the ten series. Our procedure allows the country that triggers contagion in … sovereign debt crisis, contagion has played a non-negligible role in the European peripheral countries, which confirms the …

Persistent link: https://www.econbiz.de/10013074345

Financial Contagion During the European Sovereign Debt Crisis : A Selective Literature Review

Papavassiliou, Vassilios G. - 2014

Contagion is an elusive concept and several definitions have been used in the literature. According to Forbes and … Rigobon (2002) contagion is defined as a significant increase in cross-market linkages after a shock to one country. In this … paper we provide a selective literature review on international financial contagion, placing special emphasis on the ongoing …

Persistent link: https://www.econbiz.de/10013052697

Sectoral dynamics of financial contagion in Europe : the cases of the recent crises episodes

Alexakis, Christos A.; Pappas, Vasileios - In: Economic modelling 73 (2018), pp. 222-239

Persistent link: https://www.econbiz.de/10012100519