Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/210004
Authors: 
Caporin, Massimiliano
Pelizzon, Loriana
Ravazzolo, Francesco
Rigobon, Roberto
Year of Publication: 
2012
Series/Report no.: 
Working Paper 2012/05
Abstract: 
This paper analyzes the sovereign risk contagion using CDS spreads for the major euro area countries. Using several econometric approaches (non linear regression, quantile regression and Bayesian quantile with heteroskedasticity) we show that propagation of shocks in Europe's CDS's has been remarkably constant even though in a significant part of the sample periphery countries have been extremely affected by their sovereign debt and fiscal situations. Thus, the integration among the different countries is stable, and the risk spillover among countries is not a effected by the size of the shock.
Subjects: 
sovereign risk
contagion
JEL: 
E58
F34
F36
G12
G15
Persistent Identifier of the first edition: 
ISBN: 
978-82-7553-668-4
Creative Commons License: 
https://creativecommons.org/licenses/by-nc-nd/4.0/deed.no
Document Type: 
Working Paper
Appears in Collections:

Files in This Item:
File
Size





Items in EconStor are protected by copyright, with all rights reserved, unless otherwise indicated.