Sovereign CDS Spreads in Europe : The Role of Global Risk Aversion, Economic Fundamentals, Liquidity, and Spillovers »
Journal Issue
Volume/Issue: 2014/17
Series: IMF Working Papers
Author(s): Frigyes Heinz , and Yan Sun
Publisher: INTERNATIONAL MONETARY FUND
Publication Date: 28 January 2014
DOI: http://dx.doi.org/10.5089/9781484393017.001
ISBN: 9781484393017
Keywords: CESEE countries, financial spillovers, CDS spreads, debt threshold, current account, public debt, current account balance, Financial Markets and the Macroeconomy, Asset Pricing,
By analysing data from January 2007 to December 2012 in a panel GLS error correction framework we find that European countries' sovereign CDS spreads are largely driven by global investor sentiment, macroeconomic f...