What is the risk of European sovereign debt defaults? Fiscal space, CDS spreads and market pricing of risk
Download full text from publisher
As the access to this document is restricted, you may want to look for a different version below or search for a different version of it.
Other versions of this item:
- Joshua Aizenman & Michael M. Hutchison & Yothin Jinjarak, 2011. "What is the Risk of European Sovereign Debt Defaults? Fiscal Space, CDS Spreads and Market Pricing of Risk," NBER Working Papers 17407, National Bureau of Economic Research, Inc.
- Aizenman, Joshua & Hutchison, Michael & Jinjarak, Yothin, 2011. "What is the Risk of European Sovereign Debt Defaults? Fiscal Space, CDS Spreads and Market Pricing of Risk," Santa Cruz Department of Economics, Working Paper Series qt2914v9fh, Department of Economics, UC Santa Cruz.
References listed on IDEAS
- Sergio Mayordomo & Juan Ignacio Peña & Eduardo S. Schwartz, 2010. "Are all Credit Default Swap Databases Equal?," NBER Working Papers 16590, National Bureau of Economic Research, Inc.
- Dooley, Michael & Hutchison, Michael, 2009.
"Transmission of the U.S. subprime crisis to emerging markets: Evidence on the decoupling-recoupling hypothesis,"
Journal of International Money and Finance,
Elsevier, vol. 28(8), pages 1331-1349, December.
- Michael P. Dooley & Michael M. Hutchison, 2009. "Transmission of the U.S. Subprime Crisis to Emerging Markets: Evidence on the Decoupling-Recoupling Hypothesis," NBER Working Papers 15120, National Bureau of Economic Research, Inc.
- 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.
- Fontana, Alessandro & Scheicher, Martin, 2010. "An analysis of euro area sovereign CDS and their relation with government bonds," Working Paper Series 1271, European Central Bank.
- Antje Berndt & Iulian Obreja, 2010. "Decomposing European CDS Returns," Review of Finance, European Finance Association, vol. 14(2), pages 189-233.
- John Ammer & Fang Cai, 2007. "Sovereign CDS and bond pricing dynamics in emerging markets: does the cheapest-to-deliver option matter?," International Finance Discussion Papers 912, Board of Governors of the Federal Reserve System (U.S.).
- Obstfeld, Maurice, 1996.
"Models of currency crises with self-fulfilling features,"
European Economic Review,
Elsevier, vol. 40(3-5), pages 1037-1047, April.
- Maurice Obstfeld, 1995. "Models of Currency Crises with Self-Fulfilling Features," NBER Working Papers 5285, National Bureau of Economic Research, Inc.
- Obstfeld, Maurice, 1996. "Models of Currency Crises with Self-fulfilling Features," CEPR Discussion Papers 1315, C.E.P.R. Discussion Papers.
- Jeffery D Amato, 2005. "Risk aversion and risk premia in the CDS market," BIS Quarterly Review, Bank for International Settlements, December.
- John Kiff & Jennifer A. Elliott & Elias G. Kazarian & Jodi G. Scarlata & Carolyne Spackman, 2009. "Credit Derivatives; Systemic Risks and Policy Options?," IMF Working Papers 09/254, International Monetary Fund.
- Francis A. Longstaff & Jun Pan & Lasse H. Pedersen & Kenneth J. Singleton, 2011. "How Sovereign Is Sovereign Credit Risk?," American Economic Journal: Macroeconomics, American Economic Association, vol. 3(2), pages 75-103, April.
- Alessandro Beber & Michael W. Brandt & Kenneth A. Kavajecz, 2009.
"Flight-to-Quality or Flight-to-Liquidity? Evidence from the Euro-Area Bond Market,"
Review of Financial Studies,
Society for Financial Studies, vol. 22(3), pages 925-957, March.
- Alessandro Beber & Michael W. Brandt & Kenneth A. Kavajecz, 2006. "Flight-to-Quality or Flight-to-Liquidity? Evidence From the Euro-Area Bond Market," NBER Working Papers 12376, National Bureau of Economic Research, Inc.
- Douglas W. Diamond & Philip H. Dybvig, 2000. "Bank runs, deposit insurance, and liquidity," Quarterly Review, Federal Reserve Bank of Minneapolis, issue Win, pages 14-23.
- Calvo, Guillermo A, 1988. "Servicing the Public Debt: The Role of Expectations," American Economic Review, American Economic Association, vol. 78(4), pages 647-661, September.
- Joshua Aizenman & Yothin Jinjarak, 2012.
"The Fiscal Stimulus of 2009-2010: Trade Openness, Fiscal Space, and Exchange Rate Adjustment,"
NBER International Seminar on Macroeconomics,
University of Chicago Press, vol. 8(1), pages 301-342.
- Joshua Aizenman & Yothin Jinjarak, 2011. "The Fiscal Stimulus of 2009-2010: Trade Openness, Fiscal Space, and Exchange Rate Adjustment," NBER Chapters,in: NBER International Seminar on Macroeconomics 2011, pages 301-342 National Bureau of Economic Research, Inc.
- Frank Packer & Chamaree Suthiphongchai, 2003. "Sovereign credit default swaps," BIS Quarterly Review, Bank for International Settlements, December.
- Stephen Cecchetti & Madhusudan Mohanty & Fabrizio Zampolli, 2010. "The future of public debt: prospects and implications," BIS Working Papers 300, Bank for International Settlements.
- Aizenman, Joshua & Marion, Nancy, 2002.
"Reserve Uncertainty and the Supply of International Credit,"
Journal of Money, Credit and Banking,
Blackwell Publishing, vol. 34(3), pages 631-649, August.
- Joshua Aizenman & Nancy Marion, 1999. "Reserve Uncertainty and the Supply of International Credit," NBER Working Papers 7202, National Bureau of Economic Research, Inc.
- Marian Micu & Eli M Remolona & Philip D. Wooldridge, 2006. "The price impact of rating announcements: which announcements matter?," BIS Working Papers 207, Bank for International Settlements.
More about this item
KeywordsCDS spreads; Sovereign risk; Fiscal space; Default risk; Eurozone;
- E43 - Macroeconomics and Monetary Economics - - Money and Interest Rates - - - Interest Rates: Determination, Term Structure, and Effects
- F30 - International Economics - - International Finance - - - General
- G01 - Financial Economics - - General - - - Financial Crises
StatisticsAccess and download statistics
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:jimfin:v:34:y:2013:i:c:p:37-59. 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/inca/30443 .
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 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.