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Transmission of Financial Stress in Europe
			: The Pivotal Role of Italy and Spain, but not Greece

Transmission of Financial Stress in Europe : The Pivotal Role of Italy and Spain, but not Greece »

Volume/Issue: 2014/76

Series: IMF Working Papers

Author(s): Brenda Gonzalez-Hermosillo , and Christian Johnson

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 02 May 2014

DOI: http://dx.doi.org/10.5089/9781484368190.001

ISBN: 9781484368190

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...

Transmission of Financial Stress in Europe

Transmission of Financial Stress in Europe »

Source: Transmission of Financial Stress in Europe : The Pivotal Role of Italy and Spain, but not Greece

Volume/Issue: 2014/76

Series: IMF Working Papers

Author(s): Brenda Gonzalez-Hermosillo , and Christian Johnson

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 02 May 2014

ISBN: 9781484368190

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...