Sovereign Financial Asset Market Linkages across Europe During the Euro Zone Debt Crisis
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More about this item
Keywords
bond spreads; CDS differentials; macro distance; spillover; contagion; propagation; shocks; European Union;All these keywords.
JEL classification:
- C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models
- F42 - International Economics - - Macroeconomic Aspects of International Trade and Finance - - - International Policy Coordination and Transmission
- F44 - International Economics - - Macroeconomic Aspects of International Trade and Finance - - - International Business Cycles
- O52 - Economic Development, Innovation, Technological Change, and Growth - - Economywide Country Studies - - - Europe
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