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Investigating the behaviour of sovereign risk for Eurozone countries

Author

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  • Christos Agiakloglou
  • Emmanouil Deligiannakis
  • Maria Psillaki

Abstract

The article examines the determinants of sovereign risk for European Monetary Union countries taking into consideration the global financial crisis, which emerged as a sovereign debt crisis in Europe. Using CDS prices, as a proxy of sovereign risk, this study finds that bond yields, equity prices and exchange rate are the key drivers of CDS prices. Moreover, our findings support models with dynamic components and regional effects between core and peripheral Eurozone countries, providing evidence of major differences in risk evaluation.

Suggested Citation

  • Christos Agiakloglou & Emmanouil Deligiannakis & Maria Psillaki, 2021. "Investigating the behaviour of sovereign risk for Eurozone countries," Applied Economics, Taylor & Francis Journals, vol. 53(53), pages 6204-6212, November.
    • Handle: RePEc:taf:applec:v:53:y:2021:i:53:p:6204-6212
    DOI: 10.1080/00036846.2021.1937498
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    Cited by:

    1. António Afonso & José Alves & Sofia Monteiro, 2024. "Sovereign risk dynamics in the EU: the time varying relevance of fiscal and external (im)balances," Working Papers REM 2024/0311, ISEG - Lisbon School of Economics and Management, REM, Universidade de Lisboa.

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