DC FieldValueLanguage
dc.contributor.authorStamatopoulos, Theodoros-
dc.contributor.authorTerzakis, Dimitrios-
dc.contributor.authorArvanitis, Stavros-
dc.date.accessioned2024-02-27T17:55:18Z-
dc.date.available2024-02-27T17:55:18Z-
dc.date.issued2017-08-15-
dc.identifierscopus-85007292643-
dc.identifier.issn14664283-
dc.identifier.issn00036846-
dc.identifier.other85007292643-
dc.identifier.urihttps://uniwacris.uniwa.gr/handle/3000/1224-
dc.description.abstractWe 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 (FISCAL) to have significant (insignificant) effects on the CDS concave function, as well as, DOWN in a linear one. It has also been confirmed significant pricing discrimination between South and West Euro Area Periphery (SWEAP) and the core Eurozone, highlighting asymmetries discovered either by the respective size of estimated DEBT coefficients or by the significant effects of DOWN that have only on CDS of SWEAP countries. The current account balance or the inflation rate, as well as, relevant interaction terms seem not to affect the spreads of the EMU. These findings, together with the estimated structural change on CDS pattern in early 2011, coinciding with significant either the DOWN in the pre-crisis period (2008–2010) or the DEBT in the post-crisis one (2011–2013) on the CDS, seem to be consistent with self-fulfilling crises literature and the inherent vulnerability of EMU, on other words, the ‘fragility hypothesis of the Eurozone’.en_US
dc.language.isoenen_US
dc.relation.ispartofApplied Economicsen_US
dc.subjectCredit default swaps spreadsen_US
dc.subjectEuro debt crisisen_US
dc.subjectFragility hypothesis of the Eurozoneen_US
dc.subjectSelf-fulfilling expectationsen_US
dc.subjectSovereign risk to defaulten_US
dc.titleThe risk of the sovereign debt default: the Eurozone crisis 2008–2013en_US
dc.typeArticleen_US
dc.identifier.doi10.1080/00036846.2016.1267851en_US
dc.identifier.scopus2-s2.0-85007292643-
dcterms.accessRights0en_US
dc.relation.deptDepartment of Accounting and Financeen_US
dc.relation.facultySchool of Administrative, Economics and Social Sciencesen_US
dc.relation.volume49en_US
dc.relation.issue38en_US
dc.identifier.spage3782en_US
dc.identifier.epage3796en_US
dc.collaborationUniversity of West Attica (UNIWA)en_US
dc.subject.fieldSocial Sciencesen_US
dc.journalsSubscriptionen_US
dc.publicationPeer Revieweden_US
dc.countryGreeceen_US
item.cerifentitytypePublications-
item.languageiso639-1en-
item.openairetypeArticle-
item.openairecristypehttp://purl.org/coar/resource_type/c_18cf-
item.fulltextNo Fulltext-
item.grantfulltextnone-
crisitem.author.deptDepartment of Accounting and Finance-
crisitem.author.facultySchool of Administrative, Economics and Social Sciences-
crisitem.author.orcid0000-0002-9710-0870-
crisitem.author.parentorgSchool of Administrative, Economics and Social Sciences-
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