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Sovereign risk evaluation for European Union countries

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  • Agiakloglou, Christos
  • Deligiannakis, Emmanouil

Abstract

This study investigates the short run and the long run relationship between government bond yields and their associated credit default swaps (CDS), using co-integration and Granger causality techniques, for eight major European Union countries, over three different periods, considering the global financial and the resultant European debt crises. Moreover, this study tries to explore the interactions between changes in sovereign debt ratings and the corresponding credit premiums as an effort to examine the role of top credit rating agencies in defining CDS prices and as an attempt to illuminate the importance of the announcement date based on an event study.

Suggested Citation

  • Agiakloglou, Christos & Deligiannakis, Emmanouil, 2020. "Sovereign risk evaluation for European Union countries," Journal of International Money and Finance, Elsevier, vol. 103(C).
  • Handle: RePEc:eee:jimfin:v:103:y:2020:i:c:s0261560619306175
    DOI: 10.1016/j.jimonfin.2019.102117
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    More about this item

    Keywords

    Sovereign bond yield; Credit default swap; Credit rating; European debt crisis; Granger causality; Co-integration; Event study;
    All these keywords.

    JEL classification:

    • C1 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General
    • C2 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables
    • F3 - International Economics - - International Finance
    • G1 - Financial Economics - - General Financial Markets

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