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The causal linkages between sovereign CDS prices for the BRICS and major European economies

Stolbov, Michail I. - 2014

The article examines causal relationships between sovereign credit default swaps (CDS) prices for the BRICS and most important EU economies (Germany, France, the UK, Italy, Spain) during the European debt crisis. The cross-correlation function (CCF) approach used in the research distinguishes...

Persistent link: https://www.econbiz.de/10010247460

From fears to recession? : time-frequency risk contagion among stock and credit default swap markets during the COVID pandemic

Zhai, Pengxiang; Wu, Fei; Ji, Qiang; Nguyen, Duc Khuong - In: International journal of finance & economics : IJFE 29 (2024) 1, pp. 551-580

Persistent link: https://www.econbiz.de/10014469034

The Credit Default Swap market contagion during recent crises : international evidence

Sabkha, Saker; Peretti, Christian de; Hmaied, Dorra Mezzez - In: Review of quantitative finance and accounting 53 (2019) 1, pp. 1-46

Persistent link: https://www.econbiz.de/10012173009

Sovereign credit risk dynamics in the European Monetary Union (EMU)

Patra, Theophano; Poshakwale, Sunil S.; Thomas, Vassilis - In: Applied financial economics 24 (2014) 13/15, pp. 1031-1041

Persistent link: https://www.econbiz.de/10010415304

Contagion and divergence on sovereign bond markets

Jaworski, Piotr; Liberadzki, Kamil; Liberadzki, Marcin - In: Copernican Journal of Finance & Accounting : CJF&A 6 (2017) 4, pp. 39-68

Persistent link: https://www.econbiz.de/10012215776

Sovereign bond spreads and CDS premia in the Eurozone : a causality analysis

Téllez, Cecilia; Martín García, Margarita; Ramón … - In: Revista de métodos cuantitativos para la economía y … 30 (2020), pp. 58-78

This article presents an analysis of the possible relationship between the spreads of sovereign bonds and the premia of credit default swaps (CDS) to determine whether they are useful tools for the measurement of the sovereign risk either separately or by taking into account the joint evolution...

Persistent link: https://www.econbiz.de/10012436652

Sovereign risk dynamics in the EU : the time varying relevance of fiscal and external (im)balances

Afonso, António; Alves, José; Monteiro, Sofia - 2024

-step approach to assess the impact of fiscal and external sustainability on sovereign risk dynamics for a panel of 27 European …

Persistent link: https://www.econbiz.de/10014486806

Sovereign risk dynamics in the EU : the time varying relevance of fiscal and external (im)balances

Afonso, António; Alves, José; Monteiro, Sofia - In: Journal of international financial markets, … 94 (2024), pp. 1-22

Persistent link: https://www.econbiz.de/10015063189

How do global investors differentiate between sovereign risks : the new normal versus the old

Amstad, Marlene; Remolona, Eli M.; Shek, Jimmy - 2016

Persistent link: https://www.econbiz.de/10011439801

Measuring co-movements of CDS premia during the Greek debt crisis

Andenmatten, Sergio; Brill, Felix - 2011

crisis started in October 2009. We perform a bivariate test for contagion that is based on an approach proposed by Forbes and … and industrialized countries. Our results indicate that there were periods of contagion for CDS markets during the Greek … crash and their conclusion of "no contagion, only interdependence". Especially for European countries we would instead …

Persistent link: https://www.econbiz.de/10009161447