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The anatomy of sovereign risk contagion · Study

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ArticleThe anatomy of sovereign risk contagion

Eliza Wu2016

Article2016

The anatomy of sovereign risk contagion

Eliza Wu · Magdalena Erdem · Elena Kalotychou · Eli M. Remolona

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

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Credit Risk and Financial Regulations Global Financial Crisis and Policies Financial Risk and Volatility Modeling

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References

2002No Contagion, Only Interdependence: Measuring Stock Market Comovements 1980Measuring security price performance 2010Growth in a Time of Debt 2015Dilemma not Trilemma: The Global Financial Cycle and Monetary Policy Independence 2000On crises, contagion, and confusion 2011How Sovereign Is Sovereign Credit Risk?2003A New Approach to Measuring Financial Contagion 2005International Stock Return Comovements

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2021Forecasting China’s sovereign CDS with a decomposition reconstruction strategy 2017An international forensic perspective of the determinants of bank CDS spreads

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2017Measuring sovereign contagion in Europearticle · 14 shared references 2016Sovereign Credit Risk Co‐Movements in the Eurozone: Simple Interdependence or Contagion?article · 13 shared references 2014Credit Default Swaps: A Surveyarticle · 12 shared references 2012Sovereign Credit Default Swap Premiapreprint · 12 shared references 2014ECB Policy and Eurozone Fragility: Was De Grauwe Right?article · 12 shared references 2014Fear or fundamentals? Heterogeneous beliefs in the European sovereign CDS marketarticle · 12 shared references

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Year2016

Typearticle

Published2016-07-21

VenueJournal of International Money and Finance

ISSN-L0261-5606

Languageen

Citations35

Files0 public / 0

ShelfCredit Risk and Financial Regulations

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doi10.1016/j.jimonfin.2016.07.002

openalex_workW2483276288

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