Money Market Integration and Sovereign CDS Spreads Dynamics in the New EU States
Petar Chobanov (),
Amine Lahiani and
Nikolay Nenovsky ()
No wp1002, William Davidson Institute Working Papers Series from William Davidson Institute at the University of Michigan
Abstract:
When the first phase of the crisis focused primarily on the interbank market volatility, the second phase spread on the instability of public finance. Although the overall stance of public finances of the new members is better than the old member countries, the differences within the new group are significant (from the performer Estonia to the laggard Hungary). Sovereign CDS spreads have become major variables focused on risks and expectations about the fiscal situation of different countries. In the paper we investigate, first, whether there is a link in the new member states (NMS) between the expectations about the condition of their public finances and the dynamics of money markets,including integration of national money markets with the euro area.....Our study confirm that the strong link between monetary and public finance risk as apart of total systemic risk increase during the crisis especially for currency boards regimes, when the link becomes stronger and pronounced. For the inflation targeting countries the link became weaker and less pronounced.
Keywords: money markets; sovereign CDS spreads; EU enlargement; monetary regimes; financial crisis (search for similar items in EconPapers)
JEL-codes: E43 F31 F34 G10 P20 (search for similar items in EconPapers)
Pages: pages
Date: 2010-10-01
New Economics Papers: this item is included in nep-cba, nep-eec, nep-mac, nep-mon and nep-tra
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (1)
Downloads: (external link)
http://www.wdi.umich.edu/files/Publications/WorkingPapers/wp1002.pdf
Our link check indicates that this URL is bad, the error code is: 404 Not Found (http://www.wdi.umich.edu/files/Publications/WorkingPapers/wp1002.pdf [302 Found]--> https://wdi.umich.edu/files/Publications/WorkingPapers/wp1002.pdf)
Related works:
Working Paper: Money Market Integration and Sovereign CDS Spreads Dynamics in the New EU States (2010) 
This item may be available elsewhere in EconPapers: Search for items with the same title.
Export reference: BibTeX
RIS (EndNote, ProCite, RefMan)
HTML/Text
Persistent link: https://EconPapers.repec.org/RePEc:wdi:papers:2010-1002
Access Statistics for this paper
More papers in William Davidson Institute Working Papers Series from William Davidson Institute at the University of Michigan 724 E. University Ave, Wyly Hall 1st Flr, Ann Arbor MI 48109. Contact information at EDIRC.
Bibliographic data for series maintained by WDI ().