Norges Bank working paper studies sovereign risk contagion
A working paper from Norges Bank, released on April 19, measures sovereign contagion in Europe using credit default swaps (CDSs) since the onset of the financial crisis and concludes there was no change in the intensity of the transmission of shocks among European countries during the period studied.
The paper's authors, Massimiliano Caporin, Loriana Pelizzon, Francesco Ravazzolo and Roberto Rigobon, measure contagion in the CDSs in the eurozone using a reduced-form approach based on quantile
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