Gauging potential sovereign risk contagion in Europe

被引：28
|
作者：
Fong, Tom Pak Wing [1 ]
Wong, Alfred Y-T. [1 ]
机构：
[1] Hong Kong Monetary Author, Res Dept, Int Finance Ctr 2, Hong Kong, Hong Kong, Peoples R China
来源：
ECONOMICS LETTERS | 2012年 / 115卷 / 03期
关键词：
Sovereign risk; Contagion; Tail risk; European debt crisis; Credit default swap;
D O I：
10.1016/j.econlet.2011.12.112
中图分类号：
F [经济];
学科分类号：
02 ;
摘要：
This study adopts the CoVaR methodology to analyse the tail risk relationships among European sovereigns, which provide arguably important information for policymakers to identify countries that should come under close scrutiny during the current debt crisis. (C) 2011 Elsevier B.V. All rights reserved.
引用
收藏
页码：496 / 499
页数：4
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