Spillovers from the Euro Area Sovereign Debt Crisis: A Macroeconometric Model Based Analysis
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Cited by:
- Mikhail Stolbov, 2014. "How Are Interbank and Sovereign Debt Markets Linked? Evidence from 14 OECD Countries, the Euro Area and Russia," Panoeconomicus, Savez ekonomista Vojvodine, Novi Sad, Serbia, vol. 61(3), pages 331-348, June.
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Journal of Banking & Finance, Elsevier, vol. 42(C), pages 191-198.
- Charlotte Christiansen, 2012. "Integration of European Bond Markets," CREATES Research Papers 2012-33, Department of Economics and Business Economics, Aarhus University.
- Dovern, Jonas & van Roye, Björn, 2014. "International transmission and business-cycle effects of financial stress," Journal of Financial Stability, Elsevier, vol. 13(C), pages 1-17.
- Andreas Jobst & Ms. Li L Ong & Mr. Christian Schmieder, 2013. "A Framework for Macroprudential Bank Solvency Stress Testing: Application to S-25 and Other G-20 Country FSAPs," IMF Working Papers 2013/068, International Monetary Fund.
- Mr. Christian Schmieder & Mr. Tidiane Kinda & Mr. Nassim N. Taleb & Ms. Elena Loukoianova & Mr. Elie Canetti, 2012. "A New Heuristic Measure of Fragility and Tail Risks: Application to Stress Testing," IMF Working Papers 2012/216, International Monetary Fund.
- Mr. Heiko Hesse & Mr. Ferhan Salman & Mr. Christian Schmieder, 2014. "How to Capture Macro-Financial Spillover Effects in Stress Tests?," IMF Working Papers 2014/103, International Monetary Fund.
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More about this item
Keywords
Contagion; Euro area sovereign debt crisis; Panel unobserved components model; Spillovers;All these keywords.
JEL classification:
- E44 - Macroeconomics and Monetary Economics - - Money and Interest Rates - - - Financial Markets and the Macroeconomy
- F41 - International Economics - - Macroeconomic Aspects of International Trade and Finance - - - Open Economy Macroeconomics
NEP fields
This paper has been announced in the following NEP Reports:- NEP-CBA-2011-08-02 (Central Banking)
- NEP-EEC-2011-08-02 (European Economics)
- NEP-MAC-2011-08-02 (Macroeconomics)
- NEP-OPM-2011-08-02 (Open Economy Macroeconomics)
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