English  |  正體中文  |  简体中文  |  Post-Print筆數 : 27 |  Items with full text/Total items : 90671/120716 (75%)
Visitors : 24984150      Online Users : 284
RC Version 6.0 © Powered By DSPACE, MIT. Enhanced by NTU Library IR team.
Scope Tips:
  • please add "double quotation mark" for query phrases to get precise results
  • please goto advance search for comprehansive author search
  • Adv. Search
    HomeLoginUploadHelpAboutAdminister Goto mobile version
    政大機構典藏 > 商學院 > 財務管理學系 > 期刊論文 >  Item 140.119/76039
    Please use this identifier to cite or link to this item: http://nccur.lib.nccu.edu.tw/handle/140.119/76039

    Title: Default correlation at the sovereign level: Evidence from some latin american markets
    Authors: Chen, Y.-H.;Wang, K.;Tu, Anthony H.
    Contributors: 財管系
    Keywords: credit provision;debt;financial crisis;financial market;financial policy;policy making;sovereignty;Argentina;Brazil;Latin America;Mexico [North America];Venezuela
    Date: 2011-04
    Issue Date: 2015-06-22 16:03:04 (UTC+8)
    Abstract: Using the eruption of Argentina debt crisis in 2001 as a natural experiment, we investigated the correlated default at the sovereign level for some Latin American countries. Daily closing market quotes for sovereign Credit Default Swaps (CDS) of Argentina, Brazil, Mexico and Venezuela were obtained from CreditTrade database. Using copula approach, we observed increased dependences among sovereign CDS markets during the crisis period. Their dependence structures were found to be asymmetric. Moreover, the degree of credit contagion was related to the creditworthiness of the country. This study also discussed the implications of these findings for policymakers. © 2011 Taylor & Francis.
    Relation: Applied Economics, 43(11), 1399-1411
    Data Type: article
    DOI 連結: http://dx.doi.org/10.1080/00036840802600467
    DOI: 10.1080/00036840802600467
    Appears in Collections:[財務管理學系] 期刊論文

    Files in This Item:

    File Description SizeFormat
    1399-1411.pdf1669KbAdobe PDF467View/Open

    All items in 政大典藏 are protected by copyright, with all rights reserved.

    社群 sharing

    DSpace Software Copyright © 2002-2004  MIT &  Hewlett-Packard  /   Enhanced by   NTU Library IR team Copyright ©   - Feedback