Nonlinearities in Sovereign Risk Pricing: The Role of CDS Index Contracts
收藏NBER2014-03-01 更新2025-01-04 收录
下载链接：
https://www.nber.org/papers/w19985
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资源简介：
Is the pricing of sovereign risk linear during bearish episodes? Or can initial shocks on economic fundamentals be exacerbated by endogenous factors that create nonlinearities? We test for nonlinearities in the sovereign bond market of European peripheral countries during the debt crisis and explain
提供机构：
美国国家经济研究局
创建时间：
2014-03-01
