Source: Transmission of Financial Stress in Europe : The Pivotal Role of Italy and Spain, but not Greece
Series: IMF Working Papers
Author(s): Brenda Gonzalez-Hermosillo , and Christian Johnson
Publisher: INTERNATIONAL MONETARY FUND
Publication Date: 02 May 2014
Keywords: Volatility, Contagion, Credit Default Swaps, financial crisis, financial markets, Time-Series Models, Model Construction and Estimation, Financial Markets and the Macroeconomy, Asset Pricing,
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 analyse...