Transmission of Financial Stress in Europe : The Pivotal Role of Italy and Spain, but not Greece /
This paper proposes a stochastic volatility model to measure sovereign financial distress. It examines how key European sovereign credit default swap (CDS) spreads affect each other; specifically, the paper analyses the volatility structure of Germany, Greece, Ireland, Italy, Spain and Portugal. The...
| Príomhchruthaitheoir: | |
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| Rannpháirtithe: | |
| Formáid: | IRIS |
| Teanga: | English |
| Foilsithe / Cruthaithe: |
Washington, D.C. :
International Monetary Fund,
2014.
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| Sraith: | IMF Working Papers; Working Paper ;
No. 2014/076 |
| Rochtain ar líne: | Full text available on IMF |