Sovereign CDS spreads in Europe: the role of global risk aversion, economic fundamentals, liquidity, and spillovers

By analysing data from January 2007 to December 2012 in a panel GLS error correction framework we find that European countries' sovereign CDS spreads are largely driven by global investor sentiment, macroeconomic fundamentals and liquidity conditions in the CDS market. But the relative importan...

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Veröffentlicht in:	IMF working paper 2014-01, Vol.14 (17), p.1
Hauptverfasser:	Heinz, Frigyes Ferdinand, Sun, Yan
Format:	Artikel
Sprache:	eng
Schlagworte:	2007 - 2012 Economic aspects Financial markets
Online-Zugang:	Volltext
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