Dancing Spreads: Market Assessment of Contagion from the Crisis in the Euro Periphery based on Distress Dependence Analysis

International Advances in Economic Research

Volumn 17, Issue 3, 2011, Pages 347-363

  Melander, Ola ^a   Pant, Malika ^a   Segoviano, Miguel ^b   Vamvakidis, Athanasios ^c  

^a INTERNATIONAL MONETARY FUND   (United States)

^b BANCO DE MÉXICO   (Mexico)

^c Merrill Lynch   (United Kingdom)

Author keywords

Contagion; Euro area; Market price of risk; Sovereign spreads

Indexed keywords

EID: 79960976013     PISSN: 10830898     EISSN: 1573966X     Source Type: Journal    
DOI: 10.1007/s11294-011-9309-0     Document Type: Article

References (10)

1. Arora, V., & Vamvakidis, A. (2005). How much do trading partners matter for economic growth? IMF Staff Papers, v52, n1 (April), pp. 24-40.
2. Banerji, A. (2004). The Greek tortoise and the Irish hare. In IMF Selected Issues: Greece. Washington: International Monetary Fund.
3. Caceres, C., Guzzo, V., & Segoviano, M. (2010). Sovereign spreads: Global risk aversion, contagion or fundamentals? IMF Working Paper No. 10/120. Washington: International Monetary Fund.
4. International Monetary Fund. (2010a). Cross-cutting themes in economies with large banking systems. Washington: International Monetary Fund.
5. International Monetary Fund. (2010b). Greece: Staff report on request for stand-by arrangement. Washington: International Monetary Fund.
6. International Monetary Fund. (2010c). Ireland: Request for an extended arrangement-staff report; Staff Supplement; Staff Statement; and Press Release on the Executive Board Discussion. Washington: International Monetary Fund.
7. Kullback, J. (1959). Information theory and statistics. New York: John Wiley.
8. Segoviano, M. (2006). The consistent information multivariate density optimizing methodology. Discussion Paper No. 557, Financial Markets Group, London School of Economics.
9. Segoviano, M., & Goodhart, C. (2009). Banking stability measures. IMF Working Paper No. 09/04. Washington: International Monetary Fund.
10. Vamvakidis, A. (2006). The convergence experience of the Greek economy in the EU: Lessons for EU accession countries. In: L. Balcerowicz, & S. Fischer (Eds.), Living standards and the wealth of nations: Successes and failures in real convergence.