Transmission of financial stress in Europe : the pivotal role of Italy and Spain, but not Greece /
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| 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: | |
| Format: | E-Resource Book |
| URL for this record: | http://pi.lib.uchicago.edu/1001/cat/bib/12503653 |
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| 050 | 4 | |a HG3881.5.I58 |b W67 No. 14/76eb | |
| 100 | 1 | |a González-Hermosillo, Brenda, |e (IMF staff) | |
| 245 | 1 | 0 | |a Transmission of financial stress in Europe : |b the pivotal role of Italy and Spain, but not Greece / |c prepared by Brenda González-Hermosillo and Christian A Johnson. |
| 264 | 1 | |a Washington, D.C. : |b International Monetary Fund, |c ©2014. | |
| 300 | |a 1 online resource (28 pages) : |b color illustrations. | ||
| 336 | |a text |b txt |2 rdacontent | ||
| 337 | |a computer |b c |2 rdamedia | ||
| 338 | |a online resource |b cr |2 rdacarrier | ||
| 490 | 1 | |a IMF working paper ; |v WP/14/76 | |
| 500 | |a "April 2014." | ||
| 500 | |a "Monetary and Capital Markets Department." | ||
| 504 | |a Includes bibliographical references (pages 25-27). | ||
| 520 | |a "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. | ||
| 588 | 0 | |a Online resource; title from pdf title page (IMF Web site, viewed December 7, 2015). | |
| 505 | 0 | |a Cover; Abstract; Contents; I. Introduction; II. Identifying Systematic and Idiosyncratic Risk; A. Data Description; B. Causality Tests; Tables; 1. Stylized Facts for Sovereign Credit Default Swap, TED Spread, and VIX; 2. Causality Tests for Sovereign Credit Default Swap, TED Spread, and VIX; Figures; 1. Sovereign Credit Default Swaps, TED Spread, and VIX Index; III. Competing Empirical Models; A. Deterministic Volatility Models; B. Stochastic Volatility Model; C. Stochastic Volatility Analysis; IV. Model Results. | |
| 505 | 8 | |a 3. Estimation Results for the German Sovereign Credit Default Swap Spreads: Volatility ModelsA. Stability Analysis; 2. Determinants of German Sovereign Credit Default Swap Volatility: Stochastic Volatility Model; B. Extending the Model Through October 2012 and Explaining Spanish and Italian Sovereign Credit Default Swap; 3. Sovereign Credit Default Swaps; 4. Volatility Decomposition Using Rolling Window Data; V. Conclusion; 5. Volatility Decomposition: Germany, Italy, and Spain; References. | |
| 650 | 0 | |a Financial risk |z European Union countries |x Econometric models. | |
| 650 | 0 | |a Financial crises |z European Union countries |x Econometric models. | |
| 650 | 0 | |a Debts, Public |z European Union countries |x Econometric models. | |
| 650 | 0 | |a Capital movements |z European Union countries |x Econometric models. | |
| 650 | 0 | |a Financial risk management |z European Union countries |x Econometric models. | |
| 650 | 0 | |a Country risk |z European Union countries |x Econometric models. | |
| 650 | 0 | |a Global Financial Crisis, 2008-2009. |0 http://id.loc.gov/authorities/subjects/sh2009003683 | |
| 650 | 6 | |a Risque financier |z Pays de l'Union européenne |x Modèles économétriques. | |
| 650 | 6 | |a Dettes publiques |z Pays de l'Union européenne |x Modèles économétriques. | |
| 650 | 6 | |a Mouvements de capitaux |z Pays de l'Union européenne |x Modèles économétriques. | |
| 650 | 6 | |a Finances |x Gestion du risque |z Pays de l'Union européenne |x Modèles économétriques. | |
| 650 | 6 | |a Risque pays |z Pays de l'Union européenne |x Modèles économétriques. | |
| 650 | 6 | |a Crise financière mondiale, 2008-2009. | |
| 650 | 7 | |a Capital movements |x Econometric models. |2 fast |0 (OCoLC)fst00846376 | |
| 650 | 7 | |a Country risk |x Econometric models. |2 fast |0 (OCoLC)fst00881450 | |
| 650 | 7 | |a Debts, Public |x Econometric models. |2 fast |0 (OCoLC)fst00888859 | |
| 650 | 7 | |a Financial crises |x Econometric models. |2 fast |0 (OCoLC)fst00924608 | |
| 651 | 7 | |a European Union countries. |2 fast |0 (OCoLC)fst01269470 | |
| 647 | 7 | |a Global Financial Crisis |d (2008-2009) |2 fast |0 (OCoLC)fst01755654 | |
| 648 | 7 | |a 2008-2009 |2 fast | |
| 655 | 0 | |a Electronic books. | |
| 655 | 4 | |a Electronic books. | |
| 700 | 1 | |a Johnson, Christian A., |e (IMF staff) |0 http://id.loc.gov/authorities/names/n2002112056 | |
| 710 | 2 | |a International Monetary Fund. |b Monetary and Capital Markets Department. |0 http://id.loc.gov/authorities/names/no2006113696 | |
| 830 | 0 | |a IMF working paper ; |v WP/14/76. |0 http://id.loc.gov/authorities/names/no89010263 | |
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| 928 | |t Library of Congress classification |a HG3881.5.I58W67 No. 14/76eb |l Online |c UC-FullText |u http://elibrary.imf.org/view/journals/001/2014/076/001.2014.issue-076-en.xml |z INTERNATIONAL MONETARY FUND |g ebooks |i 12147962 | ||