The multi-country transmission of sovereign and banking risk: a spatial vector autoregressive approach

Keyphrases

• Shock 100%
• Spatial Vector Autoregressive 100%
• Sovereign Risk 100%
• Banking Risk 100%
• Autoregressive Approach 100%
• Banking 50%
• Banking Sector 50%
• Vector Autoregressive Model 50%
• Corporate Credit 50%
• Default Risk 50%
• Corporate Default Risk 50%
• Foreign Shocks 50%
• Banking Credit 50%
• Forecast Error Variance 50%
• Credit Default Swap Spreads 50%
• Eurozone Countries 50%
• Sovereign Credit 50%
• Risk Variation 50%
• Sovereign Credit Risk 50%
• Foreign Banks 50%

Economics, Econometrics and Finance

• Credit Derivative 100%