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What are the Driving Factors Behind the Rise of Spreads and CDS of Eurozone Sovereign Bonds? A Panel VAR Analysis

In: Global Credit Review

Author

Listed:
  • Emmanuel Mamatzakis

    (School of Business, Management and Economics, University of Sussex, UK)

  • Panos Remoundos

    (Financial Products Sales and Head, International Markets, Alpha Bank, Athens, Greece)

Abstract

The following sections are included:INTRODUCTIONRESEARCH MOTIVATIONBrief Description of Financial/Sovereign Debt Crisis Timeline & Credit Spread EvolutionSovereign Debt Crisis & Government Bond Yields Evolution in the EurozoneLiterature ReviewTHE MARKET OF CREDIT DEFAULT SWAPS AND THE PRICING OF CREDIT RISKDATA AND METHODOLOGYData SelectionMethodological Framework of the P-VAREMPIRICAL RESULTSA Simple Random Effect Panel EstimationDynamic Panel Data AnalysisPanel-VAR EstimationsCONCLUSIONNOTESREFERENCES

Suggested Citation

  • Emmanuel Mamatzakis & Panos Remoundos, 2012. "What are the Driving Factors Behind the Rise of Spreads and CDS of Eurozone Sovereign Bonds? A Panel VAR Analysis," World Scientific Book Chapters, in: Risk Management Institute, Singapore (ed.), Global Credit Review, chapter 5, pages 79-94, World Scientific Publishing Co. Pte. Ltd..
    • Handle: RePEc:wsi:wschap:9789814412643_0005
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    More about this item

    Keywords

    Credit Ratings; Credit Risk; Credit Markets; Financial Regulation; Financial Markets; European Sovereign Crisis;
    All these keywords.

    JEL classification:

    • E51 - Macroeconomics and Monetary Economics - - Monetary Policy, Central Banking, and the Supply of Money and Credit - - - Money Supply; Credit; Money Multipliers
    • E58 - Macroeconomics and Monetary Economics - - Monetary Policy, Central Banking, and the Supply of Money and Credit - - - Central Banks and Their Policies
    • G18 - Financial Economics - - General Financial Markets - - - Government Policy and Regulation

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