Publicação
Stress factor contagion among EU countries
| Resumo: | In this paper we study contagion effect among the EU yields(Austria, Belgium, Greece, Germany, Finland, France, Ireland, Italy, Lithuania, Malta, Netherlands, Portugal, Slovakia, Spain and UK), over the period 1999:03-2014:12. We investigate if the fact of one country entering in a period of stress will that affect the other countries’ probability of also entering in stress period. We find that, on top of the variation of the global risk and liquidity, changes in the other countries’ stress indicator will also explain their stress. |
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| Autores principais: | Lin, Daniel Shao |
| Assunto: | Capm |
| Ano: | 2021 |
| País: | Portugal |
| Tipo de documento: | dissertação de mestrado |
| Tipo de acesso: | acesso aberto |
| Instituição associada: | Universidade Nova de Lisboa |
| Idioma: | inglês |
| Origem: | Repositório Institucional da UNL |
| Resumo: | In this paper we study contagion effect among the EU yields(Austria, Belgium, Greece, Germany, Finland, France, Ireland, Italy, Lithuania, Malta, Netherlands, Portugal, Slovakia, Spain and UK), over the period 1999:03-2014:12. We investigate if the fact of one country entering in a period of stress will that affect the other countries’ probability of also entering in stress period. We find that, on top of the variation of the global risk and liquidity, changes in the other countries’ stress indicator will also explain their stress. |
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