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The pricing of sovereign risk and contagion during the European sovereign debt crisis

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  • Fratzscher, Marcel
  • Beirne, John

Abstract

The paper analyses the drivers of sovereign risk for 31 advanced and emerging economies during the European sovereign debt crisis. It shows that a deterioration in countries JEL Classification: E44, F30, G15, C23, H63

Suggested Citation

  • Fratzscher, Marcel & Beirne, John, 2013. "The pricing of sovereign risk and contagion during the European sovereign debt crisis," Working Paper Series 1625, European Central Bank.
    • Handle: RePEc:ecb:ecbwps:20131625
    Note: 335955
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    References listed on IDEAS

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    More about this item

    Keywords

    bond spreads; CDS spreads; contagion; ratings; sovereign debt crisis; sovereign risk;
    All these keywords.

    JEL classification:

    • C23 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Models with Panel Data; Spatio-temporal Models
    • E44 - Macroeconomics and Monetary Economics - - Money and Interest Rates - - - Financial Markets and the Macroeconomy
    • F30 - International Economics - - International Finance - - - General
    • G15 - Financial Economics - - General Financial Markets - - - International Financial Markets
    • H63 - Public Economics - - National Budget, Deficit, and Debt - - - Debt; Debt Management; Sovereign Debt

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