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European Equity Market Contagion: An Empirical Application to Ireland’s Sovereign Debt Crisis
Bailouts Contagion DCC GARCH Dynamic correlation Equity markets Financial crises
2016/1/27
This paper examines the time-varying conditional correlations of daily European equity market returns during the Irish sovereign debt crisis. A dynamic conditional correlation (DCC) multivariate GARCH...
Financial Repression in the European Sovereign Debt Crisis
Credit Cycles Sovereign Debt Financial Repression Sovereign Finance Greece
2015/4/29
By the end of 2013, the share of government debt held by the domestic banking sectors of Eurozone countries was more than twice its 2007 level. We show that this type of increasing reliance on the dom...