Expectations and systemic risk in EMU government bond spreads

DOI10.1080/14697688.2014.968606zbMath1398.91568OpenAlexW2082927861MaRDI QIDQ4683032

Paolo Canofari, Giovanni Piersanti, Giancarlo Marini

Publication date: 19 September 2018

Published in: Quantitative Finance (Search for Journal in Brave)

Full work available at URL: http://sep.luiss.it/sites/sep.luiss.it/files/01%20Canofari%20et%20al-SEP.pdf

zbMATH Keywords

multiple equilibriaspreadsmonetary unionsspeculative attackscontagionfinancial crisisself-fulfilling expectationssovereign default riskEuro break up riskshadow exchange rate

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20)

Cites Work

• Sovereign risk contagion in the Eurozone
• Modelling and forecasting government bond spreads in the euro area: a GVAR model
• The Macroeconomic Theory of Exchange Rate Crises

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