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The Impact Of Probability Of Default And Sovereign Risk On Economic Growth Variance

Author

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  • STRACHINARU Adina-Ionela

    (Bucharest University of Economic Studies, Romania)

Abstract

The banking crises create the need to capture, in the most refined form possible, the vulnerabilities of the banking system. Early warning indicators help in capturing signals that predict, in a timely manner, the likelihood of a banking crisis. In addition, the sovereign risk, captured by CDS 5Y, proved to have a major impact on the probability of default, which negatively influenced economic growth. The results were captured using a Vector Autoregression Model on a sample of EU member states.

Suggested Citation

  • STRACHINARU Adina-Ionela, 2021. "The Impact Of Probability Of Default And Sovereign Risk On Economic Growth Variance," Revista Economica, Lucian Blaga University of Sibiu, Faculty of Economic Sciences, vol. 73(3), pages 171-185, October.
    • Handle: RePEc:blg:reveco:v:73:y:2021:i:3:p:171-185
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    File URL: http://economice.ulbsibiu.ro/revista.economica/archive/73309strachinaru.pdf
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    More about this item

    Keywords

    gross domestic product; impulse response function; probability of default; sovereign risk; VAR model; variance decomposition;
    All these keywords.

    JEL classification:

    • A10 - General Economics and Teaching - - General Economics - - - General
    • D81 - Microeconomics - - Information, Knowledge, and Uncertainty - - - Criteria for Decision-Making under Risk and Uncertainty

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