Sovereign Spreads : Global Risk Aversion, Contagion or Fundamentals?

Global Risk Aversion, Contagion or Fundamentals?

Sovereign Spreads : Global Risk Aversion, Contagion or Fundamentals?
Over the past year, euro area sovereign spreads have exhibited an unprecedented degree of volatility. This paper explores how much of these large movements reflected shifts in (i) global risk aversion (ii) country-specific risks, directly from worsening fundamentals, or indirectly from spillovers originating in other sovereigns. The analysis... READ MORE...

Publication date: May 2010
ISBN 9781455200795
$18.00

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