The reaction of emerging market credit default swap spreads to sovereign credit rating changes

Journal of Banking and Finance

Volumn 34, Issue 12, 2010, Pages 2861-2873

  Ismailescu, Iuliana ^a   Kazemi, Hossein ^b  

^a PACE UNIVERSITY   (United States)

^b UNIVERSITY OF MASSACHUSETTS   (United States)

Author keywords

Credit default swaps; Credit ratings; Emerging markets; Spillover effects; Transmission channels

Indexed keywords

EID: 77956903711     PISSN: 03784266     EISSN: None     Source Type: Journal    
DOI: 10.1016/j.jbankfin.2010.05.014     Document Type: Article

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