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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: a...
Persistent link: https://www.econbiz.de/10013074345
For the euro debt crisis, we assess the relevance of financial contagion from an investor perspective. We find that contagion, which we identify through the joint occurrence of extremely negative bond returns, has only small and transitory effects on broad government bond portfolios. For...
Persistent link: https://www.econbiz.de/10012943596
This paper examines the contagion of the eurozone debt crisis to developed and emerging stock markets around the world … eurozone debt crisis, this paper finds strong and pervasive evidence of negative contagion from the crisis countries to other … crisis. The Asian markets do not show pervasive evidence of contagion from the eurozone crisis …
Persistent link: https://www.econbiz.de/10013049332
We use a network model of credit risk to measure market expectations of the potential spillovers from a sovereign default. Specifically, we develop an empirical model, based on the recent theoretical literature on contagion in financial networks, and estimate it with data on sovereign credit...
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