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題名:The Information Transmissions between the European Sovereign CDS and the Sovereign Debt Markets of Emerging Countries
書刊名:Asia Pacific Management Review
作者:Wang, Alan T.
出版日期:2019
卷期:24:2
頁次:頁176-189
主題關鍵詞:Sovereign debtCredit default swapInformation transmission
原始連結:連回原系統網址new window
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  • 被引用次數被引用次數:期刊(0) 博士論文(0) 專書(0) 專書論文(0)
  • 排除自我引用排除自我引用:0
  • 共同引用共同引用:0
  • 點閱點閱:9
期刊論文
1.Arghyrou , M. G.、Kontonikas, A.(2012)。The EMU sovereign-debt crisis: Fundamentals, expectations and contagion。Journal of International Financial Markets, Institutions and Money,22(4),658-677。  new window
2.Beirne, John、Fratzscher, Marcel(2013)。The pricing of sovereign risk and contagion during the European sovereign debt crisis。Journal of International Money and Finance,34,60-82。  new window
3.Longstaff, F. A.、Mithal, S.、Neis, E.(2005)。Corporate Yield Spreads: Default Risk or Liquidity? New Evidence from the Credit-Default Swap Market。The Journal of Finance,60(5),2213-2253。  new window
4.Hilscher, J.、Nosbusch, Y.(2010)。Determinants of Sovereign Risk: Macroeconomic Fundamentals and the Pricing of Sovereign Debt。Review of Finance,14(2),235-262。  new window
5.Elton, Edwin J.、Gruber, Martin J.、Agrawal, Deepak、Mann, Christopher(2001)。Explaining the Rate Spread on Corporate Bonds。Journal of Finance,56(1),247-277。  new window
6.Koop, Gary、Pesaran, M. H.、Potter, Simon M.(1996)。Impulse Response Analysis in Nonlinear Multivariate Models。Journal of Econometrics,74(1),119-147。  new window
7.Delatte, Anne-Laure、Gex, Mathieu、López-Villavicencio, Antonia(2012)。Has the CDS market influenced the borrowing cost of European countries during the sovereign crisis?。Journal of International Money and Finance,31(3),481-497。  new window
8.Ammer, John、Cai, Fang(2011)。Sovereign CDS and bond pricing dynamics in emerging markets: Does the cheapest-to-deliver option matter?。Journal of International Financial Markets, Institutions, and Money,21(3),369-387。  new window
9.Longstaff, Francis A.、Pan, Jun、Pedersen, Lasse H.、Singleton, Kenneth J.(2011)。How sovereign is sovereign credit risk?。American Economic Journal: Macroeconomics,3(2),75-103。  new window
10.Grammatikos, Theoharry、Vermeulen, Robert(2012)。Transmission of the financial and sovereign debt crises to the EMU: Stock prices, CDS spreads and exchange rates。Journal of International Money and Finance,31(3),517-533。  new window
11.Pesaran, Hashem H.、Shin, Yongcheol(1998)。Generalized impulse response analysis in linear multivariate models。Economic Letters,58(1),17-29。  new window
12.Sims, Christopher A.(1980)。Macroeconomics and Reality。Econometrica: Journal of the Econometric Society,48(1),1-48。  new window
13.Antonakakis, N.、Vergos, K.(2013)。Sovereign bond yield spillovers in the Euro zone during the financial and debt crisis。Journal of International Financial Markets, Institutions and Money,26,258-272。  new window
14.Arce, O.、Mayordomo, S.、Peña, J. I.(2013)。Credit-risk valuation in the sovereign CDS and bonds markets: Evidence from the euro area crisis。Journal of International Money and Finance,35,124-145。  new window
15.Arnold, I. J.、Van Ewijk, S. E.(2014)。The impact of sovereign and credit risk on interest rate convergence in the euro area。Journal of International Money and Finance,49,340-357。  new window
16.Avino, D.、Cotter, J.(2014)。Sovereign and bank CDS spreads: Two sides of the same coin?。Journal of International Financial Markets, Institutions and Money,32,72-58。  new window
17.Bernoth, K.、Erdogan, B.(2012)。Sovereign bond yield spreads: A time-varying coefficient approach。Journal of International Money and Finance,31(3),639-656。  new window
18.Cantero-Saiz, M.、Sanfilippo-Azofra, S.、Torre-Olmo, B.、López-Gutiérrez, C.(2014)。Sovereign risk and the bank lending channel in Europe。Journal of International Money and Finance,47,1-20。  new window
19.Coudert, V.、Gex, M.(2010)。Credit default swap and bond markets: Which leads the other。Financial Stability Review,14,161-167。  new window
20.Maltritz, D.(2012)。Determinants of sovereign yield spreads in the Eurozone: A bayesian approach。Journal of International Money and Finance,31(3),657-672。  new window
21.Oliveira, L.、Curto, J. D.、Nunes, J. P.(2012)。The determinants of sovereign credit spread changes in the Euro-zone。Journal of International Financial Markets, Institutions and Money,22(2),278-304。  new window
22.Diebold, Francis X.、Yilmaz, Kamil(2012)。Better to Give than to Receive: Predictive Directional Measurement of Volatility Spillovers。International Journal of Forecasting,28(1),57-66。  new window
會議論文
1.Bowe, M.、Klimaviciene, A.、Taylor, A. P.(2009)。Information transmission and price discovery in emerging sovereign credit risk markets。The mid-west finance association annual conference。Chicago。  new window
研究報告
1.Bellas, D.、Papaioannou, M. G.、Petrova, I.(2010)。Determinants of emerging market sovereign bond spreads: Fundamentals vs financial stress。International Monetary Fund。  new window
 
 
 
 
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