This paper focuses on predictability of sovereign debt crisis proposing a twostep procedure centered on the idea of a multidimensional distance-to-collapse point. The first step is non-parametric and devoted to construct a generalized early warning system that signals a potential crisis every time a group of indicators exceeds specific thresholds. The second is parametric and tries to contextua...

We propose a way of measuring the risk of a sovereign debt portfolio by using a simple two-factor short rate model. The model is calibrated from data and then the changes in the bond prices are simulated by using a Kalman filter. The bond prices being simulated remain arbitrage-free, in contrast with principal component analysis based strategies for simulation and risk measurement of debt portf...

We introduce a new model for time-varying spatial dependence. The model extends the wellknown static spatial lag model. All parameters can be estimated conveniently by maximum likelihood. We establish the theoretical properties of the model and show that the maximum likelihood estimator for the static parameters is consistent and asymptotically normal. We also study the information theoretic op...

This study analyzes the current tax systems in European Union (EU) mainly by focusing on diversities of taxes levied labour, consumption and capital. It is shown that structures Member States are considerably different from each other. Further role policy sovereign debt crisis evaluated. considered although taxation can not be deemed as one causes crisis, some policies pursued during pre-crisis...