Gauging potential sovereign risk contagion in Europe
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.
References listed on IDEAS
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- Wong, Alfred Y-T. & Fong, Tom Pak Wing, 2011. "Analysing interconnectivity among economies," Emerging Markets Review, Elsevier, vol. 12(4), pages 432-442.
- Koenker, Roger W & Bassett, Gilbert, Jr, 1978. "Regression Quantiles," Econometrica, Econometric Society, vol. 46(1), pages 33-50, January.
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