Transmission of Financial Stress in Europe: The Pivotal Role of Italy and Spain, but not Greece

Transmission of Financial Stress in Europe: The Pivotal Role of Italy and Spain, but not Greece
This paper proposes a stochastic volatility model to measure sovereign financial distress. It examines howkey European sovereign credit default swap (CDS) spreads affect each other; specifically, the paperanalyses the volatility structure of Germany, Greece, Ireland, Italy, Spain and Portugal. The stability ofGermany is a close proxy for the... READ MORE...

Publication date: May 2014
ISBN 9781484368190
$18.00

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