What are the Driving Factors Behind the Rise of Spreads and CDS of Eurozone Sovereign Bonds? A Panel VAR Analysis

Emmanuel Mamatzakis and Panos Remoundos
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Panos Remoundos: Financial Products Sales and Head, International Markets, Alpha Bank, Athens, Greece

Chapter 5 in Global Credit Review:Volume 2, 2012, pp 79-94 from World Scientific Publishing Co. Pte. Ltd.

Abstract: AbstractThe following sections are included:INTRODUCTIONRESEARCH MOTIVATIONBrief Description of Financial/Sovereign Debt Crisis Timeline & Credit Spread EvolutionSovereign Debt Crisis & Government Bond Yields Evolution in the EurozoneLiterature ReviewTHE MARKET OF CREDIT DEFAULT SWAPS AND THE PRICING OF CREDIT RISKDATA AND METHODOLOGYData SelectionMethodological Framework of the P-VAREMPIRICAL RESULTSA Simple Random Effect Panel EstimationDynamic Panel Data AnalysisPanel-VAR EstimationsCONCLUSIONNOTESREFERENCES

Keywords: Credit Ratings; Credit Risk; Credit Markets; Financial Regulation; Financial Markets; European Sovereign Crisis (search for similar items in EconPapers)
Date: 2012
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Journal Article: What are the Driving Factors Behind the Rise of Spreads and CDS of Eurozone Sovereign Bonds? A Panel VAR Analysis (2012)
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