THE SOVEREIGN RISK PREMIUM DYNAMICS IN THE CONTEXT OF MACROECONOMIC DETERIORATION

Strachinaru Adina-Ionela
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Strachinaru Adina-Ionela: BUCHAREST UNIVERSITY OF ECONOMIC STUDIES

Annals - Economy Series, 2021, vol. 3, 66-71

Abstract: Financial instability causes imbalances also externally, in terms of sovereign risk, a fact caught in the countries of the European Union. The paper aims to capture the positive elasticity of the sovereign risk premium to the macrostability deterioration, structural balance proving to be the most significant factor for the period 2005-2019.

Keywords: CBOE Volatility Index; CDS 5Y; structural deficit; Treasury Yield Curve (search for similar items in EconPapers)
Date: 2021
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Persistent link: https://EconPapers.repec.org/RePEc:cbu:jrnlec:y:2021:v:3:p:66-71

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