 | Sovereign CDS Spreads in Europe: The Role of Global Risk Aversion, Economic Fundamentals, Liquidity, and Spillovers Author/Editor: Frigyes F Heinz, Yan Sun. Release Date:January, 2014 By analysing data from January 2007 to December 2012 in a panel GLS error correction framework we find that European countries’ sovereign CDS spreads are largely driven by global investor more...
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| Cross-Country Linkages in Europe: A Global VAR Analysis Author/Editor: Yan Sun, Frigyes F Heinz, Giang Ho. Release Date:September, 2013 This paper uses the Global VAR (GVAR) model proposed by Pesaran et al. (2004) to study cross-country linkages among euro area countries, other advanced European countries (including the Nordics, the more...
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