Abstract:
This paper takes the Eurozone debt crisis for analyzing the conduction effects of the sovereign credit risk. On the one hand, we take for the “PIIGS” ten-year bond spreads relative to Germany, analyze the risk conduction effect within the Eurozone; on the other hand, based on GVAR model, it studies the reaction of the world's major economies to the Eurozone shocks, such as the fluctuations of Eurozone GDP. The results show that Greece and Ireland have more significant cumulative impacts on the other countries than Spain and Italy; among the Cross-border conduction of sovereign credit risk, the impacts of the Euro zone economy shrinking have very great effects on its Major trading partners-UK, US and China.
叶永刚, 杨飞雨, 郑小娟. 国家信用风险的传导与影响研究——以欧元区债务危机为例[J]. 金融研究, 2016, 428(2): 172-179.
YE Yonggang, YANG Feiyu, ZHENG Xiaojuan. Research on the Conduction and Influence of Sovereign Credit Risk. Journal of Financial Research, 2016, 428(2): 172-179.
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