Anzeige
Erschienen in:
2015 | OriginalPaper | Buchkapitel
Sovereign Risk and Contagion Effects in the Eurozone: A Bayesian Stochastic Correlation Model
verfasst von : Roberto Casarin, Marco Tronzano, Domenico Sartore
Erschienen in: Advances in Statistical Models for Data Analysis
Aktivieren Sie unsere intelligente Suche, um passende Fachinhalte oder Patente zu finden.
Wählen Sie Textabschnitte aus um mit Künstlicher Intelligenz passenden Patente zu finden. powered by
Markieren Sie Textabschnitte, um KI-gestützt weitere passende Inhalte zu finden. powered by
Abstract
This research proposes a Bayesian multivariate stochastic volatility (MSV) model to analyze the dynamics of sovereign risk in eurozone CDS markets during the recent financial crisis. We follow an MCMC approach to parameters and latent variable estimation and provide evidence of significant volatility shifts in asset returns, strong simultaneous increases in cross-market correlations, as well as sharp declines in correlations patterns. Overall, these findings are highly consistent with various empirical characterizations of contagion put forward in the literature, allowing us to conclude that the recent financial crisis generated severe contagion effects in sovereign debt markets of eurozone countries.