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Record Nr. |
UNINA9910462056003321 |
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Autore |
Alper C. Emre |
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Titolo |
Pricing of sovereign credit risk [[electronic resource] ] : evidence from advanced economies during the financial crisis / / C. Emre Alper, Lorenzo Forni and Marc Gerard |
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Pubbl/distr/stampa |
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Washington, D.C., : International Monetary Fund, 2012 |
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ISBN |
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1-4639-6592-3 |
1-4639-3377-0 |
1-4639-3836-5 |
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Descrizione fisica |
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1 online resource (29 p.) |
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Collana |
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Altri autori (Persone) |
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Soggetti |
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Debts, External - Developed countries |
Country risk - Developed countries |
Global Financial Crisis, 2008-2009 |
Electronic books. |
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Lingua di pubblicazione |
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Formato |
Materiale a stampa |
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Livello bibliografico |
Monografia |
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Note generali |
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Description based upon print version of record. |
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Nota di bibliografia |
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Includes bibliographical references. |
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Nota di contenuto |
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Cover; Contents; I. Introduction; II. Dynamic Relationships between CDS and RAS Spreads; III. Determinants of CDS and RAS Spreads; IV. Concluding Remarks; Data Appendix; Figures; 1. CDS Gross Notional Outstanding Amounts as a Share of Total Public Debt: Selected Countries over the Period 2008-11; 2. CDS and RAS Spread Developments; 3. Expected one year ahead Primary Deficit and CDS/RAS Spreads - Large Advanced Economies; 4. Expected one year ahead Primary Deficit and CDS/RAS Spreads - Selected; Tables; 1. Panel and Individual Unit Root Test Results on the Basis (CDS-RAS) |
2. Individual Cointegration Test and Error-correction Model Estimation Results for CDS and RAS Spreads3. CDS Spreads Regressions; 4. RAS Spreads Regressions; 5. CDS Spreads Regressions - Country Breakdown; 6. RAS Spreads Regressions--Country Breakdown; References |
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Sommario/riassunto |
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We investigate the pricing of sovereign credit risk over the period 2008-2010 for selected advanced economies by examining two widely- |
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