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What are the Driving Factors Behind the Rise of Spreads and CDS of Eurozone Sovereign Bonds? A Panel VAR Analysis

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  • Emmanuel Mamatzakis

    (School of Business, Management and Economics, University of Sussex, UK)

  • Panos Remoundos

    (Financial Products Sales, Greece)

Abstract

No abstract received.

Suggested Citation

  • Emmanuel Mamatzakis & Panos Remoundos, 2012. "What are the Driving Factors Behind the Rise of Spreads and CDS of Eurozone Sovereign Bonds? A Panel VAR Analysis," Global Credit Review (GCR), World Scientific Publishing Co. Pte. Ltd., vol. 2(01), pages 79-94.
    • Handle: RePEc:wsi:gcrxxx:v:02:y:2012:i:01:n:s2010493612500055
    DOI: 10.1142/S2010493612500055
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    4. Peña, Juan Ignacio & Forte, Santiago, 2006. "Credit spreads: theory and evidence about the information content of stocks, bonds and cdss," DEE - Working Papers. Business Economics. WB wb063310, Universidad Carlos III de Madrid. Departamento de Economía de la Empresa.
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    6. Burkhard Raunig & Martin Scheicher, 2009. "Are Banks Different? Evidence from the CDS Market," Working Papers 152, Oesterreichische Nationalbank (Austrian Central Bank).
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    11. Unknown, 2007. "Indicators June-07," Amber Waves:The Economics of Food, Farming, Natural Resources, and Rural America, United States Department of Agriculture, Economic Research Service, pages 1-3, June.
    12. Mr. Ashoka Mody, 2009. "From Bear Stearns to Anglo Irish: How Eurozone Sovereign Spreads Related to Financial Sector Vulnerability," IMF Working Papers 2009/108, International Monetary Fund.
    13. Jose Giancarlo Gasha & Mr. Andre O Santos & Mr. Jorge A Chan-Lau & Mr. Carlos I. Medeiros & Mr. Marcos R Souto & Christian Capuano, 2009. "Recent Advances in Credit Risk Modeling," IMF Working Papers 2009/162, International Monetary Fund.
    14. Fontana, Alessandro & Scheicher, Martin, 2016. "An analysis of euro area sovereign CDS and their relation with government bonds," Journal of Banking & Finance, Elsevier, vol. 62(C), pages 126-140.
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    More about this item

    JEL classification:

    • E51 - Macroeconomics and Monetary Economics - - Monetary Policy, Central Banking, and the Supply of Money and Credit - - - Money Supply; Credit; Money Multipliers
    • E58 - Macroeconomics and Monetary Economics - - Monetary Policy, Central Banking, and the Supply of Money and Credit - - - Central Banks and Their Policies
    • G18 - Financial Economics - - General Financial Markets - - - Government Policy and Regulation

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