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Volumn 39, Issue PB, 2014, Pages 405-419

Fundamentally Wrong: Market Pricing of Sovereigns and the Greek Financial Crisis

Author keywords

Euro area financial crisis; Sovereign spreads

Indexed keywords


EID: 84897370544     PISSN: 01640704     EISSN: None     Source Type: Journal    
DOI: 10.1016/j.jmacro.2013.08.006     Document Type: Article
Times cited : (42)

References (15)
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    • (2012)
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  • 2
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    • What is the risk of European sovereign debt defaults? Fiscal space, CDS spreads and the market pricing of risk
    • Aizenman J., Hutchison M., Jinjarak Y. What is the risk of European sovereign debt defaults? Fiscal space, CDS spreads and the market pricing of risk. Journal of International Money and Finance 2013, 34:37-49.
    • (2013) Journal of International Money and Finance , vol.34 , pp. 37-49
    • Aizenman, J.1    Hutchison, M.2    Jinjarak, Y.3
  • 3
    • 79960710491 scopus 로고    scopus 로고
    • Sovereign CDS and bond pricing dynamics in emerging markets: does the cheapest-to-deliver option matter?
    • International Finance Discussion Papers No. 912, Washington, DC.
    • Ammer, J., Cai, F., 2007. Sovereign CDS and bond pricing dynamics in emerging markets: does the cheapest-to-deliver option matter? International Finance Discussion Papers No. 912, Washington, DC.
    • (2007)
    • Ammer, J.1    Cai, F.2
  • 5
    • 84875407009 scopus 로고    scopus 로고
    • The pricing of sovereign risk and contagion during the European sovereign debt crisis
    • Beirne J., Fratzscher M. The pricing of sovereign risk and contagion during the European sovereign debt crisis. Journal of International Money and Finance 2013, 34:60-82.
    • (2013) Journal of International Money and Finance , vol.34 , pp. 60-82
    • Beirne, J.1    Fratzscher, M.2
  • 8
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    • The euro area sovereign debt crisis: safe haven, credit rating agencies and the spread of the fever from Greece, Ireland and Portugal. ECB Working Paper Series No. 1419.
    • De Santis, R.A., 2012. The euro area sovereign debt crisis: safe haven, credit rating agencies and the spread of the fever from Greece, Ireland and Portugal. ECB Working Paper Series No. 1419.
    • (2012)
    • De Santis, R.A.1
  • 10
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    • What can EMU countries' sovereign bond spreads tell us about market perceptions of default probabilities during the recent financial crisis?
    • Deutsche Bundesbank, Discussion Paper Series 1, Economic Studies No. 11.
    • Doetz, N., Fischer, C., 2010. What can EMU countries' sovereign bond spreads tell us about market perceptions of default probabilities during the recent financial crisis? Deutsche Bundesbank, Discussion Paper Series 1, Economic Studies No. 11.
    • (2010)
    • Doetz, N.1    Fischer, C.2
  • 11
    • 84856077750 scopus 로고    scopus 로고
    • An analysis of euro area sovereign CDS and their relation with government bonds
    • ECB Working Paper No. 1271.
    • Fontana, A., Scheicher, M., 2010. An analysis of euro area sovereign CDS and their relation with government bonds. ECB Working Paper No. 1271.
    • (2010)
    • Fontana, A.1    Scheicher, M.2
  • 13
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    • Applications of the Kalman filter in econometrics
    • Bewley, T.F. (Ed.), Advances in Econometrics: Fifth World Congress. Econometric Society Monograph No. 13. Cambridge University Press.
    • Harvey, A.C., 1987. Applications of the Kalman filter in econometrics. In Bewley, T.F. (Ed.), Advances in Econometrics: Fifth World Congress, vol. 1. Econometric Society Monograph No. 13. Cambridge University Press.
    • (1987) , vol.1
    • Harvey, A.C.1
  • 15
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    • Government bond risk premiums in the EU revisited: the impact of the financial crisis
    • von Hagen J., Schuknecht L., Wolswijk G. Government bond risk premiums in the EU revisited: the impact of the financial crisis. European Journal of Political Economy 2011, 27(1):36-43.
    • (2011) European Journal of Political Economy , vol.27 , Issue.1 , pp. 36-43
    • von Hagen, J.1    Schuknecht, L.2    Wolswijk, G.3


* 이 정보는 Elsevier사의 SCOPUS DB에서 KISTI가 분석하여 추출한 것입니다.