Please use this identifier to cite or link to this item: https://hdl.handle.net/10419/210004 
Year of Publication: 
2012
Series/Report no.: 
Working Paper No. 2012/05
Publisher: 
Norges Bank, Oslo
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: 
cc-by-nc-nd Logo
Document Type: 
Working Paper
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