IDEAS home Printed from https://ideas.repec.org/a/eee/ecolet/v115y2012i3p496-499.html
   My bibliography  Save this article

Gauging potential sovereign risk contagion in Europe

Author

Listed:
  • Fong, Tom Pak Wing
  • Wong, Alfred Y-T.

Abstract

This study adopts the CoVaR methodology to analyse the tail risk relationships among European sovereigns, which provide arguably important information for policymakers to identify countries that should come under close scrutiny during the current debt crisis.

Suggested Citation

  • Fong, Tom Pak Wing & Wong, Alfred Y-T., 2012. "Gauging potential sovereign risk contagion in Europe," Economics Letters, Elsevier, vol. 115(3), pages 496-499.
  • Handle: RePEc:eee:ecolet:v:115:y:2012:i:3:p:496-499
    DOI: 10.1016/j.econlet.2011.12.112
    as

    Download full text from publisher

    File URL: http://www.sciencedirect.com/science/article/pii/S0165176511006355
    Download Restriction: Full text for ScienceDirect subscribers only

    As the access to this document is restricted, you may want to search for a different version of it.

    References listed on IDEAS

    as
    1. Koenker, Roger W & Bassett, Gilbert, Jr, 1978. "Regression Quantiles," Econometrica, Econometric Society, vol. 46(1), pages 33-50, January.
    2. Wong, Alfred Y-T. & Fong, Tom Pak Wing, 2011. "Analysing interconnectivity among economies," Emerging Markets Review, Elsevier, vol. 12(4), pages 432-442.
    Full references (including those not matched with items on IDEAS)

    Citations

    Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
    as


    Cited by:

    1. Tola, Albi & Wälti, Sébastien, 2015. "Deciphering financial contagion in the euro area during the crisis," The Quarterly Review of Economics and Finance, Elsevier, vol. 55(C), pages 108-123.
    2. Ludwig, Alexander, 2013. "Sovereign risk contagion in the Eurozone: a time-varying coefficient approach," MPRA Paper 52340, University Library of Munich, Germany.

    More about this item

    Keywords

    Sovereign risk; Contagion; Tail risk; European debt crisis; Credit default swap;

    JEL classification:

    • C5 - Mathematical and Quantitative Methods - - Econometric Modeling
    • F34 - International Economics - - International Finance - - - International Lending and Debt Problems
    • G13 - Financial Economics - - General Financial Markets - - - Contingent Pricing; Futures Pricing
    • G15 - Financial Economics - - General Financial Markets - - - International Financial Markets

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:eee:ecolet:v:115:y:2012:i:3:p:496-499. See general information about how to correct material in RePEc.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Dana Niculescu). General contact details of provider: http://www.elsevier.com/locate/ecolet .

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    If CitEc recognized a reference but did not link an item in RePEc to it, you can help with this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service hosted by the Research Division of the Federal Reserve Bank of St. Louis . RePEc uses bibliographic data supplied by the respective publishers.