| dc.contributor | 財管系 | |
| dc.creator (作者) | Chen, Y.-H.;Wang, K.;Tu, Anthony H. | |
| dc.creator (作者) | 杜化宇 | zh_TW |
| dc.date (日期) | 2011-04 | |
| dc.date.accessioned | 22-Jun-2015 16:03:04 (UTC+8) | - |
| dc.date.available | 22-Jun-2015 16:03:04 (UTC+8) | - |
| dc.date.issued (上傳時間) | 22-Jun-2015 16:03:04 (UTC+8) | - |
| dc.identifier.uri (URI) | http://nccur.lib.nccu.edu.tw/handle/140.119/76039 | - |
| dc.description.abstract (摘要) | 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. | |
| dc.format.extent | 1709823 bytes | - |
| dc.format.mimetype | application/pdf | - |
| dc.relation (關聯) | Applied Economics, 43(11), 1399-1411 | |
| dc.subject (關鍵詞) | credit provision; debt; financial crisis; financial market; financial policy; policy making; sovereignty; Argentina; Brazil; Latin America; Mexico [North America]; Venezuela | |
| dc.title (題名) | Default correlation at the sovereign level: Evidence from some latin american markets | |
| dc.type (資料類型) | article | en |
| dc.identifier.doi (DOI) | 10.1080/00036840802600467 | |
| dc.doi.uri (DOI) | http://dx.doi.org/10.1080/00036840802600467 | |
