کد مقاله کد نشریه سال انتشار مقاله انگلیسی نسخه تمام متن
883697 912345 2012 17 صفحه PDF دانلود رایگان
عنوان انگلیسی مقاله ISI
Eurozone sovereign contagion: Evidence from the CDS market (2005–2010)
موضوعات مرتبط
علوم انسانی و اجتماعی اقتصاد، اقتصادسنجی و امور مالی اقتصاد و اقتصادسنجی
پیش نمایش صفحه اول مقاله
Eurozone sovereign contagion: Evidence from the CDS market (2005–2010)
چکیده انگلیسی

This paper analyses the dynamics of the credit default swap (CDS) market of PIIGS, France, Germany and the UK for the period of 2005–2010. The study is performed on the basis of the Datastream and DTCC data on CDS spreads and the BIS data on cross-border exposures. The analysis of the data shows that sovereign risk mainly concentrates in the EU countries. The EWMA correlation analysis and the Granger-causality test demonstrate that there was contagion effect since correlations and cross-county interdependencies increased already after August 2007. Furthermore, the IRF analysis shows that among PIIGS the CDS markets of Spain and Ireland have the biggest impact on the European CDS market, whereas the CDS market of the UK does not cause a big distress in the Eurozone. The adjusted correlation analysis confirms that Greece and other PIIGS (even Spain and Italy) have lower capacity to trigger contagion than core EU countries. Besides, Portugal is the most vulnerable country in the sample, whereas the UK is the most immune to shocks.


► Sovereign risk mainly concentrates in the EU countries.
► France, Germany and the UK are heavily exposed to PIIGS.
► The global financial crisis triggered the sovereign debt crisis.
► PIIGS have lower capacity to trigger contagion than core EU countries.
► Portugal is the most vulnerable, whereas the UK is the most immune to shocks.

ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Journal of Economic Behavior & Organization - Volume 83, Issue 3, August 2012, Pages 657–673
نویسندگان
, ,