메뉴 건너뛰기




Volumn 101, Issue 5, 2012, Pages 571-579

Italian government debt and sovereign credit risk: An empirical exploration and some thoughts about consequences for European insurers

Author keywords

[No Author keywords available]

Indexed keywords


EID: 84873123229     PISSN: 00442585     EISSN: 18659748     Source Type: Journal    
DOI: 10.1007/s12297-012-0208-0     Document Type: Article
Times cited : (29)

References (26)
  • 1
    • 85159535921 scopus 로고    scopus 로고
    • Solvency II - Konsequenzen für das Kapitalanlagegeschäft der Versicherungen
    • Arneth, S., Sauka, C.: Solvency II - Konsequenzen für das Kapitalanlagegeschäft der Versicherungen. Z. Gesamte Kreditwes. 61, 796-799 (2008)
    • (2008) Z. Gesamte Kreditwes , vol.61 , pp. 796-799
    • Arneth, S.1    Sauka, C.2
  • 2
    • 33751172340 scopus 로고    scopus 로고
    • Floating exchange rates and inflation in Germany: Are external shocks really irrelevant?
    • DOI 10.1016/j.econlet.2006.06.016, PII S0165176506002084
    • Basse, T.: Floating exchange rates and inflation in Germany: are external shocks really irrelevant? Econ. Lett. 93, 393-397 (2006) (Pubitemid 44774556)
    • (2006) Economics Letters , vol.93 , Issue.3 , pp. 393-397
    • Basse, T.1
  • 3
    • 76149139337 scopus 로고    scopus 로고
    • Solvency II, asset liability management, and the European bond market-theory and empirical evidence
    • Basse, T., Friedrich, M.: Solvency II, asset liability management, and the European bond market-theory and empirical evidence. ZVersWiss 97, 155-171 (2008)
    • (2008) ZVersWiss , vol.97 , pp. 155-171
    • Basse, T.1    Friedrich, M.2
  • 4
    • 85159527989 scopus 로고    scopus 로고
    • The Greek debt crisis, structural change and sovereign credit risk: Empirical evidence from cointegration analysis
    • Basse, T., Friedrich, M., v.d. Schulenburg, J.-M.: The Greek debt crisis, structural change and sovereign credit risk: empirical evidence from cointegration analysis. Unpublished working paper (2011)
    • (2011) Unpublished Working Paper
    • Basse, T.1    Friedrich, M.2    Schulenburg, J.-M.3
  • 5
    • 84873198977 scopus 로고    scopus 로고
    • Measuring convergence of the new member countries' exchange rates to the Euro
    • Becker, B., Hall, S.G.: Measuring convergence of the new member countries' exchange rates to the Euro. J. Financ. Transform. 19, 20-25 (2007)
    • (2007) J. Financ. Transform , vol.19 , pp. 20-25
    • Becker, B.1    Hall, S.G.2
  • 6
    • 66749098942 scopus 로고    scopus 로고
    • Inflation convergence and divergence within the European monetary union
    • Busetti, F., Forni, L., Harvey, A., Venditti, F.: Inflation convergence and divergence within the European monetary union. Int. J. Cent. Bank. 3, 95-121 (2007)
    • (2007) Int. J. Cent. Bank. , vol.3 , pp. 95-121
    • Busetti, F.1    Forni, L.2    Harvey, A.3    Venditti, F.4
  • 7
    • 0034067111 scopus 로고    scopus 로고
    • Price convergence of peripheral European countries on the way to the EMU: A time series approach
    • Camarero, M., Esteve, V., Tamarit, C.: Price convergence of peripheral European countries on the way to the EMU: a time series approach. Empir. Econ. 25, 149-168 (2000) (Pubitemid 30170827)
    • (2000) Empirical Economics , vol.25 , Issue.1 , pp. 149-168
    • Camarero, M.1    Esteve, V.2    Tamarit, C.3
  • 8
    • 0036276988 scopus 로고    scopus 로고
    • Tests for interest rate convergence and structural breaks in the EMS: Further analysis
    • DOI 10.1080/09603100010005294
    • Camarero, M., Ordónez, J., Tamarit, C.: Tests for interest rate convergence and structural breaks in the EMS: further analysis. Appl. Financ. Econ. 12, 447-456 (2002) (Pubitemid 34609410)
    • (2002) Applied Financial Economics , vol.12 , Issue.6 , pp. 447-456
    • Camarero, M.1    Ordonez, J.2    Tamarit, C.R.3
  • 9
    • 1642463412 scopus 로고    scopus 로고
    • The fisher effect: A survey
    • DOI 10.1142/S0217590803000682
    • Cooray, A.: The Fisher effect: a survey. Singap. Econ. Rev. 48, 135-150 (2003) (Pubitemid 38106914)
    • (2003) Singapore Economic Review , vol.48 , Issue.2 , pp. 135-150
    • Cooray, A.1
  • 10
    • 0032434196 scopus 로고    scopus 로고
    • Approximations to the asymptotic distributions of cointegration tests
    • Doornik, J.A.: Approximations to the asymptotic distributions of cointegration tests. J. Econ. Surv. 12, 573-593 (1998) (Pubitemid 29040576)
    • (1998) Journal of Economic Surveys , vol.12 , Issue.5 , pp. 573-593
    • Doornik, J.A.1
  • 12
    • 0009405269 scopus 로고    scopus 로고
    • Tests for interest rate convergence and structural breaks in the EMS
    • Fountas, S., Wu, J.-L.: Tests for interest rate convergence and structural breaks in the EMS. Appl. Financ. Econ. 8, 127-132 (1998) (Pubitemid 128438059)
    • (1998) Applied Financial Economics , vol.8 , Issue.2 , pp. 127-132
    • Fountas, S.1    Wu, J.-Y.2
  • 13
    • 0008312427 scopus 로고    scopus 로고
    • Residual-based tests for cointegration in models with regime shifts
    • DOI 10.1016/0304-4076(69)41685-7
    • Gregory, A.W., Hansen, B.E.: Residual-based tests for cointegration in models with regime shifts. J. Econom. 70, 99-126 (1996) (Pubitemid 126339817)
    • (1996) Journal of Econometrics , vol.70 , Issue.1 , pp. 99-126
    • Gregory, A.W.1    Hansen, B.E.2
  • 14
    • 0004998572 scopus 로고    scopus 로고
    • Some tests for parameter constancy in cointegrated VAR-models
    • Hansen, H., Johansen, S.: Some tests for parameter constancy in cointegrated VAR-models. Econom. J. 2, 306-333 (1999)
    • (1999) Econom. J. , vol.2 , pp. 306-333
    • Hansen, H.1    Johansen, S.2
  • 15
    • 0001982122 scopus 로고    scopus 로고
    • Unit roots and Granger causality in the EMS interest rates: The German dominance hypothesis revisited
    • Hassapis, C., Pittis, N., Prodromidis, K.: Unit roots and Granger causality in the EMS interest rates: the German dominance hypothesis revisited. J. Int. Money Financ. 18, 47-73 (1999)
    • (1999) J. Int. Money Financ , vol.18 , pp. 47-73
    • Hassapis, C.1    Pittis, N.2    Prodromidis, K.3
  • 16
    • 4644316638 scopus 로고    scopus 로고
    • Inflation convergence in the ERM: Evidence for manufacturing and services
    • Holmes, M.J.: Inflation convergence in the ERM: evidence for manufacturing and services. Int. Econ. J. 12, 1-16 (1998)
    • (1998) Int. Econ. J. , vol.12 , pp. 1-16
    • Holmes, M.J.1
  • 17
    • 42549172046 scopus 로고    scopus 로고
    • Real interest rate convergence under the euro
    • Jenkins, M.A., Madzharova, P.: Real interest rate convergence under the euro. Appl. Econ. Lett. 15, 473- 476 (2008)
    • (2008) Appl. Econ. Lett. , vol.15 , pp. 473-476
    • Jenkins, M.A.1    Madzharova, P.2
  • 18
    • 0000158117 scopus 로고
    • Estimation and hypothesis testing of cointegration vectors in Gaussian vector autoregressive models
    • Johansen, S.: Estimation and hypothesis testing of cointegration vectors in Gaussian vector autoregressive models. Econometrica 59, 1551-1580 (1991)
    • (1991) Econometrica , vol.59 , pp. 1551-1580
    • Johansen, S.1
  • 19
    • 0042517562 scopus 로고    scopus 로고
    • The monetary exchange rate model within the ERM: Cointegration tests and implications concerning the German dominance hypothesis
    • Kanas, A.: The monetary exchange rate model within the ERM: cointegration tests and implications concerning the German dominance hypothesis. Appl. Financ. Econ. 7, 587-598 (1997) (Pubitemid 127439138)
    • (1997) Applied Financial Economics , vol.7 , Issue.6 , pp. 587-598
    • Kanas, A.1
  • 20
    • 77956306195 scopus 로고    scopus 로고
    • Government bond market integration within European Union
    • Laopodis, N.T.: "Government bond market integration within European Union". Int. Res. J. Finance Econ. 19, 56-76 (2008)
    • (2008) Int. Res. J. Finance Econ , vol.19 , pp. 56-76
    • Laopodis, N.T.1
  • 21
    • 5444232845 scopus 로고    scopus 로고
    • A model for studying the effect of EMU on European yield curves
    • Lund, J.: A model for studying the effect of EMU on European yield curves. Eur. Finance Rev. 2, 321-363 (1999)
    • (1999) Eur. Finance Rev. , vol.2 , pp. 321-363
    • Lund, J.1
  • 22
    • 84926953255 scopus 로고    scopus 로고
    • Vector autoregressive and vector error correction models
    • H., Krätzig, M. (eds.) Cambridge University Press, Cambridge
    • Lütkepohl, H.: Vector autoregressive and vector error correction models. In: Lütkepohl, H., Krätzig, M. (eds.) Applied Time Series Economics, pp. 86-156. Cambridge University Press, Cambridge (2004)
    • (2004) Applied Time Series Economics , pp. 86-156
    • Lütkepohl, H.1
  • 23
    • 0002886803 scopus 로고
    • International interest rate convergence: A survey of the issues and evidence
    • Reserve Bank New York
    • Pigott, C.A.: International interest rate convergence: a survey of the issues and evidence. Q. Rev. - Fed. Reserve Bank New York 18, 24-37 (1994)
    • (1994) Q. Rev. - Fed. , vol.18 , pp. 24-37
    • Pigott, C.A.1
  • 24
    • 0000342563 scopus 로고    scopus 로고
    • Convergence in interest rates and inflation rates across countries and over time
    • Siklos, P.L., Wohar, M.E.: Convergence in interest rates and inflation rates across countries and over time. Rev. Int. Econ. 5, 129-141 (1997) (Pubitemid 127652529)
    • (1997) Review of International Economics , vol.5 , Issue.1 , pp. 129-141
    • Siklos, P.L.1    Wohar, M.E.2
  • 25
    • 85159528600 scopus 로고    scopus 로고
    • Enterprise friction-The mandate for risk management
    • Vishnu, S.: Enterprise friction-the mandate for risk management. J. Financ. Transform. 28, 14-18 (2010)
    • (2010) J. Financ. Transform , vol.28 , pp. 14-18
    • Vishnu, S.1
  • 26
    • 46649085623 scopus 로고    scopus 로고
    • Cointegration versus Traditional Econometric Techniques in Applied Economics
    • Zietz, J.: Cointegration versus traditional econometric techniques in applied economics. East. Econ. J. 26, 469-482 (2000) (Pubitemid 33205637)
    • (2000) Eastern economic journal , vol.26 , Issue.4 , pp. 469-482
    • Zietz, J.1


* 이 정보는 Elsevier사의 SCOPUS DB에서 KISTI가 분석하여 추출한 것입니다.