Article ID Journal Published Year Pages File Type
5085122 International Review of Financial Analysis 2013 22 Pages PDF
Abstract
► It is possible to infer from changes in yield spreads the dating of the crisis. ► 7 spreads, measures of liquidity and default premia, analyzed over 2001-2011 sample. ► The crisis onset is dated between late Spring and Summer of 2007. ► The crisis does not only involve mean spreads but also their persistence.
Keywords
Related Topics
Social Sciences and Humanities Economics, Econometrics and Finance Economics and Econometrics
Preview
A yield spread perspective on the great financial crisis: Break-point test evidence
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