Sovereign Credit Risk Co-Movements in the Eurozone: Simple Interdependence or Contagion?

We investigate credit risk co‐movements and contagion in the sovereign debt markets of 17 industrialized countries during the period 2008–2012. We use dynamic conditional correlations of sovereign credit default swap spreads to detect contagion. This approach allows us to separate contagion channels...

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Veröffentlicht in:	International finance (Oxford, England) England), 2016, Vol.19 (3), p.246-268
Hauptverfasser:	Buchholz, Manuel, Tonzer, Lena
Format:	Artikel
Sprache:	eng
Schlagworte:	Banking Credit default swaps Credit risk Economic crisis Eurozone Industrialized nations Interdependence International Sovereign debt Studies
Online-Zugang:	Volltext
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