Gauging potential sovereign risk contagion in Europe

Tom Fong () and Alfred Y-T. Wong

Economics Letters, 2012, vol. 115, issue 3, 496-499

Abstract: This study adopts the CoVaR methodology to analyse the tail risk relationships among European sovereigns, which provide arguably important information for policymakers to identify countries that should come under close scrutiny during the current debt crisis.

Keywords: Sovereign risk; Contagion; Tail risk; European debt crisis; Credit default swap (search for similar items in EconPapers)
JEL-codes: C5 F34 G13 G15 (search for similar items in EconPapers)
Date: 2012
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Citations: View citations in EconPapers (26)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:ecolet:v:115:y:2012:i:3:p:496-499

DOI: 10.1016/j.econlet.2011.12.112

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