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 Portuga...
| Main Authors: | , |
|---|---|
| Institution: | ETUI-European Trade Union Institute |
| Format: | TEXT |
| Language: | English |
| Published: |
Washington, DC
2014
IMF |
| Subjects: | |
| Online Access: | https://www.labourline.org/KENTIKA-19118737124919369199-Transmission-of-financial-stre.htm |
