Measuring Contagious Effects on Euro Area Debt Crisis Using Daily CDS Spreads Changes

被引：3

作者：

Elkhaldi, Abderrazak ^{[1
]}

Chebbi, Tarek ^{[1
,2
]}

Naoui, Kamel ^{[3
]}

机构：

[1] Fac Econ Sci & Management Sousse, Sousse 4023, Tunisia

[2] ISG Tunis, BESTMOD, Tunis, Tunisia

[3] ESC Tunis, Manouba 2010, Tunisia

来源：

FIRST ANNUAL TUNISIAN SOCIETY FOR FINANCIAL STUDIES (TSFS) FINANCE CONFERENCE 2013 | 2014年 / 13卷

关键词：

euro area; debt crisis; contagion; CDS sovereign spreads; DCC models; SOVEREIGN; DEFAULT; RISK;

D O I：

10.1016/S2212-5671(14)00427-4

中图分类号：

F8 [财政、金融];

学科分类号：

0202 ;

摘要：

This paper complements several recent studies on the contagion in the euro area after the historic tensions on the debt market. We consider the popular approach of dynamic conditional correlation (DCC) as introduced by Engle (2002) for sovereign CDS spreads associated with selected euro area countries. Additionally, we extend prior results by explaining to what extent the contagion is generated by market and macroeconomic indicators. (C) 2014 The Authors. Published by Elsevier B.V.

引用

页码：14 / 29

页数：16

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