ABSTRACT

The article examines the determinants of sovereign risk for European Monetary Union countries taking into consideration the global financial crisis, which emerged as a sovereign debt crisis in Europe. Using CDS prices, as a proxy of sovereign risk, this study finds that bond yields, equity prices and exchange rate are the key drivers of CDS prices. Moreover, our findings support models with dynamic components and regional effects between core and peripheral Eurozone countries, providing evidence of major differences in risk evaluation.

中文翻译：

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调查欧元区国家主权风险行为

摘要

考虑到作为欧洲主权债务危机出现的全球金融危机，本文研究了欧洲货币联盟国家主权风险的决定因素。本研究使用 CDS 价格作为主权风险的代理，发现债券收益率、股票价格和汇率是 CDS 价格的主要驱动因素。此外，我们的研究结果支持欧元区核心和外围国家之间具有动态成分和区域效应的模型，提供了风险评估存在重大差异的证据。