SOVEREIGN RISK DEPENDENCE PATTERN IN EMERGING EUROPE

被引：0
|
作者：
Gaiduchevici, Gabriel [1 ]
机构：
[1] Acad Romana, Bucharest, Romania
来源：
PROCEEDINGS OF THE 14TH INTERNATIONAL CONFERENCE ON INFORMATICS IN ECONOMY (IE 2015): EDUCATION, RESEARCH & BUSINESS TECHNOLOGIES | 2015年
关键词：
copula; garch; hac; sovereign risk;
D O I：
暂无
中图分类号：
F8 [财政、金融];
学科分类号：
0202 ;
摘要：
In this study we implement a flexible model to assess both the strength and the pattern of sovereign risk dependence between several European countries with emerging economies. We employ a market risk approach to analyzing sovereign risk and provide a synoptic interpretation of the results facilitating a better understanding of the interconnectedness of sovereign risk. We conclude that sovereign risk is not a country specific type of risk but rather a reflection of both internal factors and macroeconomic forces external to the country.
引用
收藏
页码：504 / 509
页数：6
相关论文
共 50 条
  • [21] How Much of Bank Credit Risk Is Sovereign Risk? Evidence from Europe
    Li, Junye
    Zinna, Gabriele
    [J]. JOURNAL OF MONEY CREDIT AND BANKING, 2018, 50 (06) : 1225 - 1269
  • [22] Sovereign risk zones in Europe during and after the debt crisis
    Arakelian, Veni
    Dellaportas, Petros
    Savona, Roberto
    Vezzoli, Marika
    [J]. QUANTITATIVE FINANCE, 2019, 19 (06) : 961 - 980
  • [23] The Relative Role of Sovereign CDS and Bond Markets in Efficiently Pricing Emerging Market Sovereign Credit Risk
    Raja, Zubair Ali
    Procasky, William J.
    Oyotode-Adebile, Renee
    [J]. JOURNAL OF EMERGING MARKET FINANCE, 2020, 19 (03) : 296 - 325
  • [24] Human leptospirosis: An emerging risk in Europe?
    Dupouey, Julien
    Faucher, Benoit
    Edouard, Sophie
    Richet, Herve
    Kodjo, Angeli
    Drancourt, Michel
    Davoust, Bernard
    [J]. COMPARATIVE IMMUNOLOGY MICROBIOLOGY AND INFECTIOUS DISEASES, 2014, 37 (02) : 77 - 83
  • [25] Credit derivatives and emerging markets - New tools for managing sovereign risk
    Neal, R
    [J]. FINANCIAL INNOVATIONS AND THE WELFARE OF NATIONS: HOW CROSS-BORDER TRANSFERS OF FINANCIAL INNOMVATIONS NURTURE EMERGING CAPITAL MARKETS, 2001, : 339 - 355
  • [26] Accounting for sovereign tail risk in emerging economies: The role of global and domestic risk factors
    Fong, Tom Pak Wing
    Li, Ka-Fai
    Fu, John
    [J]. EMERGING MARKETS REVIEW, 2018, 34 : 98 - 110
  • [27] Bilateral investment treaties and sovereign default risk: Evidence for emerging markets
    Eichler, Stefan
    Nauerth, Jannik Andre
    [J]. INTERNATIONAL JOURNAL OF FINANCE & ECONOMICS, 2024,
  • [28] Sovereign credit risk and global equity fund returns in emerging markets
    Andreou, Christoforos K.
    Lambertides, Neophytos
    Savvides, Andreas
    [J]. JOURNAL OF INTERNATIONAL MONEY AND FINANCE, 2020, 107
  • [29] The impacts of financial crisis on sovereign credit risk analysis in Asia and Europe
    Zhang, Min
    Kolkiewicz, Adam W.
    Wirjanto, Tony S.
    Li, Xindan
    [J]. INTERNATIONAL JOURNAL OF FINANCIAL ENGINEERING, 2015, 2 (03)
  • [30] Political regimes and sovereign credit risk in Europe, 1750-1913
    Dincecco, Mark
    [J]. EUROPEAN REVIEW OF ECONOMIC HISTORY, 2009, 13 : 31 - 63
12345