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        Transmission of Financial Stress in Europe: The Pivotal Role of Italy and Spain  but not Greece
        Transmission of Financial Stress in Europe: The Pivotal Role of Italy and Spain  but not Greece
        Transmission of Financial Stress in Europe: The Pivotal Role of Italy and Spain  but not Greece
        Transmission of Financial Stress in Europe: The Pivotal Role of Italy and Spain  but not Greece
        Transmission of Financial Stress in Europe: The Pivotal Role of Italy and Spain  but not Greece
        Transmission of Financial Stress in Europe: The Pivotal Role of Italy and Spain  but not Greece
        Transmission of Financial Stress in Europe: The Pivotal Role of Italy and Spain  but not Greece
        Transmission of Financial Stress in Europe: The Pivotal Role of Italy and Spain  but not Greece
        Transmission of Financial Stress in Europe: The Pivotal Role of Italy and Spain  but not Greece
        Transmission of Financial Stress in Europe: The Pivotal Role of Italy and Spain  but not Greece
        Transmission of Financial Stress in Europe: The Pivotal Role of Italy and Spain  but not Greece
        Transmission of Financial Stress in Europe: The Pivotal Role of Italy and Spain  but not Greece
        Transmission of Financial Stress in Europe: The Pivotal Role of Italy and Spain  but not Greece
        Transmission of Financial Stress in Europe: The Pivotal Role of Italy and Spain  but not Greece
        Transmission of Financial Stress in Europe: The Pivotal Role of Italy and Spain  but not Greece
        Transmission of Financial Stress in Europe: The Pivotal Role of Italy and Spain  but not Greece
        Transmission of Financial Stress in Europe: The Pivotal Role of Italy and Spain  but not Greece
        Transmission of Financial Stress in Europe: The Pivotal Role of Italy and Spain  but not Greece
        Transmission of Financial Stress in Europe: The Pivotal Role of Italy and Spain  but not Greece
        Transmission of Financial Stress in Europe: The Pivotal Role of Italy and Spain  but not Greece
        Transmission of Financial Stress in Europe: The Pivotal Role of Italy and Spain  but not Greece
        Transmission of Financial Stress in Europe: The Pivotal Role of Italy and Spain  but not Greece
        Transmission of Financial Stress in Europe: The Pivotal Role of Italy and Spain  but not Greece
        Transmission of Financial Stress in Europe: The Pivotal Role of Italy and Spain  but not Greece
        Transmission of Financial Stress in Europe: The Pivotal Role of Italy and Spain  but not Greece
        Transmission of Financial Stress in Europe: The Pivotal Role of Italy and Spain  but not Greece
        Transmission of Financial Stress in Europe: The Pivotal Role of Italy and Spain  but not Greece
        Transmission of Financial Stress in Europe: The Pivotal Role of Italy and Spain  but not Greece

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        Transmission of Financial Stress in Europe: The Pivotal Role of Italy and Spain but not Greece

        ABSTRACT

        This paper proposes a stochastic volatility model to measure sovereign financial distress. It examines how key European sovereign credit default swap (CDS) spreads affect each other; specifically, the paper analyses the volatility structure of Germany, Greece, Ireland, Italy, Spain and Portugal. The stability of Germany is a close proxy for the resilience of the euro area as markets use Germany’s sovereign CDS as a hedge for systemic risk. Although most of the CDS changes for Germany during 2009–12 were due to idiosyncratic factors, market developments in Italy and Spain contributed significantly, likely due to their relative importance in the region. Changes in Greece’s sovereign CDS had no significa ....read more

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        • TypeReport
        • PriceFree
        • FormatPDF
        • Size1.08 MB
        • LanguageEnglish
        • Stacks0
        • Postedalmost 4 years ago
        • Authored-
        • Added byHashdoc Content Review
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