Series: IMF Working Papers
Author(s): Miguel Segoviano Basurto , Carlos Caceres , and Vincenzo Guzzo
Publisher: INTERNATIONAL MONETARY FUND
Publication Date: 01 May 2010
Keywords: Sovereign spreads, contagion, market price of risk, probability, bond, bonds, bond yields, probabilities, Financial Markets and the Macroeconomy, General Financial Markets: General (includes Measurement and Data)
Over the past year, euro area sovereign spreads have exhibited an unprecedented degree of volatility. This paper explores how much of these large movements reflected shifts in (i) global risk aversion (ii) country-...