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Stability of sovereign risk in the Eurozone through the Lyapunov Exponent

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Listed author(s):
  • Christian Espinosa

    ()

    (Facultad de Economía y Empresa, Universidad Diego Portales)

  • Juan Gorigoitía

Abstract

This article explores whether the Lyapunov exponent provides useful information on the changes in sovereign risk in the Eurozone. In the context of the financial crisis that started in 2007, we find a close relationship between the changes in sovereign risk and the Lyapunov exponent. Then, using the Hurst and Lyapunov exponents, we find evidence suggesting that countries that implemented economic policy measures more quickly faced lower variations in their sovereign risk relative to other Eurozone countries.

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File URL: http://www.udp.cl/descargas/facultades_carreras/economia/pdf/documentos_investigacion/wp_36_WorkingPaperEspinosaandGorigoitia.pdfCreation-Date:2012-10
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Paper provided by Facultad de Economía y Empresa, Universidad Diego Portales in its series Working Papers with number 36.

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Date of creation: Oct 2012
Handle: RePEc:ptl:wpaper:36
Contact details of provider: Web page: http://www.udp.cl

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