What are the driving factors behind the rise of spreads and CDS of euro-area sovereign bonds? A FAVAR model for Greece and Ireland
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- Nicholas Apergis & Emmanuel Mamatzakis, 2012. "What Are the Driving Factors behind the Rise of Spreads and CDSs of Euro-area Sovereign Bonds? A FAVAR Model for Greece and Ireland," Economics Working Paper Archive wp_720, Levy Economics Institute.
References listed on IDEAS
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More about this item
Keywordssovereign debt crisis; spreads; credit default swap; CDS; FAVAR model; Greece; Ireland; Euro Zone; sovereign bonds; factor augmenting vector autoregressive; market liquidity; credit risk.;
- C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models
- G00 - Financial Economics - - General - - - General
- G01 - Financial Economics - - General - - - Financial Crises
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