Authors: | Stamatopoulos, Theodoros Terzakis, Dimitrios Arvanitis, Stavros |
Issue Date: | 15-Aug-2017 |
Journal: | Applied Economics |
Volume: | 49 |
Issue: | 38 |
Keywords: | Credit default swaps spreads, Euro debt crisis, Fragility hypothesis of the Eurozone, Self-fulfilling expectations, Sovereign risk to default |
Abstract: | We investigate the relationship of the market pricing of sovereign risk to default, through credit default swap (CDS) spreads for 16 Eurozone countries during 2008q1–2013q3. We take into account, through appropriate non-linear generalized method of moments (GMM) estimations the endogeneity problem. We focus on ‘fiscal space’ (DEBT or FISCAL), and the downgrade announcements (DOWN). We find DEBT (F... |
ISSN: | 14664283 00036846 |
DOI: | 10.1080/00036846.2016.1267851 |
URI: | https://uniwacris.uniwa.gr/handle/3000/1224 |
Type: | Article |
Department: | Department of Accounting and Finance |
School: | School of Administrative, Economics and Social Sciences |
Affiliation: | University of West Attica (UNIWA) |
Appears in Collections: | Articles / Άρθρα |
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