The Contagion Effects of Sovereign Downgrades: Evidence from the European Financial Crisis
This research examines the effects of sovereign downgrades on European financial markets between 2005 and 2012. Vector Autoregression (VAR) techniques are used to investigate the presence of contagion effects after a sovereign downgrade across equity indices, five year Credit Default Swaps (CDS) an...
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| Format: | Article |
| Language: | English |
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EconJournals
2013-11-01
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| Series: | International Journal of Economics and Financial Issues |
| Online Access: | https://www.econjournals.com/index.php/ijefi/article/view/625 |