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What determines Euro area bank CDS spreads? · Study

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ArticleWhat determines Euro area bank CDS spreads?

Jan Annaert2012

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Articlegreen2012

What determines Euro area bank CDS spreads?

Jan Annaert · Marc J.K. De Ceuster · Patrick Van Roy · Cristina Vespro

236 citations·0/0 files stored·Journal of International Money and Finance

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Credit Risk and Financial Regulations Banking stability, regulation, efficiency Global Financial Crisis and Policies

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References

2001Econometric Analysis of Cross Section and Panel Data 2008Estimating Standard Errors in Finance Panel Data Sets: Comparing Approaches 1974ON THE PRICING OF CORPORATE DEBT: THE RISK STRUCTURE OF INTEREST RATES*2003Analysis of Panel Data 1989Business conditions and expected returns on stocks and bonds 1974On the Pricing of Corporate Debt: The Risk Structure of Interest Rates 1982The stochastic behavior of common stock variances Value, leverage and interest rate effects 2001The Determinants of Credit Spread Changes

Cited by

2012A Macroeconomic Model with a Financial Sector 2014Credit Default Swaps: A Survey 2012Macroprudential Policy, Countercyclical Bank Capital Buffers and Credit Supply: Evidence from the Spanish Dynamic Provisioning Experiments 2013The determinants of CDS spreads 2012Risk, Uncertainty and Monetary Policy 2016Asymmetric determinants of CDS spreads: U.S. industry-level evidence through the NARDL approach

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Year2012

Typearticle

Published2012-06-09

VenueJournal of International Money and Finance

ISSN-L0261-5606

Languageen

Citations236

Files0 public / 0

ShelfCredit Risk and Financial Regulations

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doi10.1016/j.jimonfin.2012.05.029

openalex_workW1899865046

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2019Spillovers among sovereign CDS, stock and commodity markets: A correlation network perspective

2012The determinants of bank CDS spreads: evidence from the financial crisis