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 /

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Bibliographic Details
Author / Creator:	González-Hermosillo, Brenda, (IMF staff)
Imprint:	Washington, D.C. : International Monetary Fund, ©2014.
Description:	1 online resource (28 pages) : color illustrations.
Language:	English
Series:	IMF working paper ; WP/14/76 IMF working paper ; WP/14/76.
Subject:	Financial risk -- European Union countries -- Econometric models. Financial crises -- European Union countries -- Econometric models. Debts, Public -- European Union countries -- Econometric models. Capital movements -- European Union countries -- Econometric models. Financial risk management -- European Union countries -- Econometric models. Country risk -- European Union countries -- Econometric models. Global Financial Crisis, 2008-2009. Capital movements -- Econometric models. Country risk -- Econometric models. Debts, Public -- Econometric models. Financial crises -- Econometric models. European Union countries. Electronic books.
Format:	E-Resource Book
URL for this record:	http://pi.lib.uchicago.edu/1001/cat/bib/12503653

Hidden Bibliographic Details
Other authors / contributors:	Johnson, Christian A., (IMF staff) International Monetary Fund. Monetary and Capital Markets Department.
Notes:	"April 2014." "Monetary and Capital Markets Department." Includes bibliographical references (pages 25-27). Online resource; title from pdf title page (IMF Web site, viewed December 7, 2015).
Summary:	"This paper proposes a stochastic volatility model to measure sovereign financial distress. It examines how key European sovereign credit default swap (CDS) spreads affect each other; specifically, the paper analyses the volatility structure of Germany, Greece, Ireland, Italy, Spain and Portugal. The stability of Germany is a close proxy for the resilience of the euro area as markets use Germany's sovereign CDS as a hedge for systemic risk. Although most of the CDS changes for Germany during 2009-12 were due to idiosyncratic factors, market developments in Italy and Spain contributed significantly, likely due to their relative importance in the region. Changes in Greece's sovereign CDS had no significant effect on Germany's sovereign CDS despite initial widespread concerns about such linkages. Spain and Italy show a notable co-dependence in explaining each other's volatility while Germany also plays an important role. It is found that extreme bad news led to persistent and nearly permanent effects on the stochastic volatility of European sovereign CDS spreads."--Summary.

Description
Item Description:	"April 2014." "Monetary and Capital Markets Department."
Physical Description:	1 online resource (28 pages) : color illustrations.
Bibliography:	Includes bibliographical references (pages 25-27).