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Sovereign CDS and Bond Pricing Dynamics in the Euro-area

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1,116 cited

2004The relationship between credit default swap spreads, bond yields, and credit rating announcements1,008 cited

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2013Disentangling Contagion Among Sovereign CDS Spreads During the European Debt Crisis78 cited
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2013Credit ratings and the pricing of sovereign debt during the euro crisis71 cited
2014Fear or fundamentals? Heterogeneous beliefs in the European sovereign CDS market59 cited
2014An update on EMU sovereign yield spread drivers in times of crisis: A panel data analysis57 cited
2015Monetary Policy, Bank Bailouts and the Sovereign-Bank Risk Nexus in the Euro Area55 cited
2014Sovereign and bank CDS spreads: Two sides of the same coin?44 cited
2019Analyzing credit risk transmission to the nonfinancial sector in Europe: A network approach41 cited
2020Systemic risk and financial stability dynamics during the Eurozone debt crisis40 cited
2016Sovereign Credit Risk Co‐Movements in the Eurozone: Simple Interdependence or Contagion?37 cited
2014The Sovereign Effect on Bank Credit Ratings36 cited
2015Price cointegration between sovereign CDS and currency option markets in the financial crises of 2007–201334 cited
2018Measuring connectedness of euro area sovereign risk31 cited