Open Access. Powered by Scholars. Published by Universities.®
- Keyword
- Publication
Articles 1 - 2 of 2
Full-Text Articles in International Economics
Sovereign Default Risk In The Euro-Periphery And The Euro-Candidate Countries, Hubert Gabrisch, Lucjan T. Orlowski, Toralf Pusch
Sovereign Default Risk In The Euro-Periphery And The Euro-Candidate Countries, Hubert Gabrisch, Lucjan T. Orlowski, Toralf Pusch
WCBT Working Papers
This study examines the key drivers of sovereign default risk in five euro area periphery countries and three euro-candidates that are currently pursuing independent monetary policies. We argue that the recent proliferation of sovereign risk premiums stems from both domestic and international sources. We focus on contagion effects of external financial crisis on sovereign risk premiums in these countries, arguing that the countries with weak fundamentals and fragile financial institutions are particularly vulnerable to such effects. The domestic fiscal vulnerabilities include: economic recession, less efficient government spending and a rising public debt. External ‘push’ factors entail increasing liquidity- and counter-party …
Proliferation Of Tail Risks And Policy Responses In The Eu Financial Markets, Lucjan Orlowski
Proliferation Of Tail Risks And Policy Responses In The Eu Financial Markets, Lucjan Orlowski
WCBT Faculty Publications
This study draws attention to the proliferation of tail risks in financial markets prior to and during the course of the recent global financial crisis. It examines the level of tail risks in selected equity, interbank lending and foreign exchange markets in selected EU Member States in relation to the United States. The extent of tail risks is assessed by applying general error distribution (GED) parameterization in GARCH volatility tests of the examined variables. The empirical tests prove that tail risks were pronounced across all of the examined European financial markets throughout the crisis. They were also significant prior to …