Expectations and systemic risk in EMU government bond spreads
نویسندگان
چکیده
منابع مشابه
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CDS role in building-up the risk perceptions is mounting, while the similar task for the sovereign bonds seems fading away. The paper investigates if (i) the market characteristics of these instruments underpin such developments, (ii) their informational content appropriately mirrors specific risks, and (iii) changes in spreads are passed-through by banks to the debtors’ financing cost. The ana...
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ژورنال
عنوان ژورنال: Quantitative Finance
سال: 2014
ISSN: 1469-7688,1469-7696
DOI: 10.1080/14697688.2014.968606