Sovereign CDS Spreads in Europe : The Role of Global Risk Aversion, Economic Fundamentals, Liquidity, and Spillovers /
By analysing data from January 2007 to December 2012 in a panel GLS error correction framework we find that European countries' sovereign CDS spreads are largely driven by global investor sentiment, macroeconomic fundamentals and liquidity conditions in the CDS market. But the relative importan...
| מחבר ראשי: | |
|---|---|
| מחברים אחרים: | |
| פורמט: | כתב-עת |
| שפה: | English |
| יצא לאור: |
Washington, D.C. :
International Monetary Fund,
2014.
|
| סדרה: | IMF Working Papers; Working Paper ;
No. 2014/017 |
| גישה מקוונת: | Full text available on IMF |