Avoiding Sovereign Default Contagion

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Replication package for Avoiding Sovereign Default Contagion - Journal of International Economics

Avoiding Sovereign Default Contagion

Replication package for Avoiding Sovereign Default Contagion - Journal of International Economics

doi.org40

Sovereign Risk Contagion

We develop a theory of sovereign risk contagion based on financial links. In our multi-country model, sovereign bond spreads comove because default in one country can trigger default in other countrie

NBER2017-11-01 更新20

Contagion in the European Sovereign Debt Crisis

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

NBER2014-10-01 更新30

Avoiding Sovereign Default Contagion

Replication package for Avoiding Sovereign Default Contagion - Journal of International Economics

Mendeley Data00

Measuring Sovereign Contagion in Europe

This paper analyzes the sovereign risk contagion using credit default swaps (CDS) and bond premiums for the major eurozone countries. By emphasizing several econometric approaches (nonlinear regressio

NBER2013-01-01 更新100