Has the CDS market influenced the borrowing cost of European countries during the sovereign crisis?

Journal of International Money and Finance

Volumn 31, Issue 3, 2012, Pages 481-497

  Delatte, Anne Laure ^a   Gex, Mathieu ^b   López Villavicencio, Antonia ^c  

^a NEOMA BUSINESS SCHOOL   (France)

^b UNIV GRENOBLE ALPES   (France)

^c CNRS   (France)

Author keywords

Cointegration; European sovereign crisis; Nonlinearity; Price discovery process; Sovereign credit default swaps

Indexed keywords

EID: 84857447770     PISSN: 02615606     EISSN: None     Source Type: Journal    
DOI: 10.1016/j.jimonfin.2011.10.008     Document Type: Article

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