| 来源类型 | Working Paper |
| 规范类型 | 报告 |
| DOI | 10.3386/w20567 |
| 来源ID | Working Paper 20567 |
| Contagion in the European Sovereign Debt Crisis | |
| Brent Glover; Seth Richards-Shubik | |
| 发表日期 | 2014-10-13 |
| 出版年 | 2014 |
| 语种 | 英语 |
| 摘要 | We use a network model of credit risk to measure market expectations of the potential spillovers from a sovereign default. Specifically, we develop an empirical model, based on the recent theoretical literature on contagion in financial networks, and estimate it with data on sovereign credit default swap spreads and the detailed structure of financial linkages among thirteen European sovereigns from 2005 to 2011. Simulations from the estimated model show that a sovereign default generates only small spillovers to other sovereigns. These results imply that credit markets do not demand a significant premium for the interconnectedness of sovereign debt in Europe. |
| 主题 | Microeconomics ; Economics of Information ; International Economics ; International Finance ; Financial Economics ; Industrial Organization ; Market Structure and Firm Performance |
| URL | https://www.nber.org/papers/w20567 |
| 来源智库 | National Bureau of Economic Research (United States) |
| 引用统计 | |
| 资源类型 | 智库出版物 |
| 条目标识符 | http://119.78.100.153/handle/2XGU8XDN/578242 |
| 推荐引用方式 GB/T 7714 | Brent Glover,Seth Richards-Shubik. Contagion in the European Sovereign Debt Crisis. 2014. |
| 条目包含的文件 | 条目无相关文件。 | |||||
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