000			02381cam a22003737 4500
001			w20567
003			NBER
005			20211020105812.0
006			m o d
007			cr cnu||||||||
008			210910s2014 mau fo 000 0 eng d
100	1		_aGlover, Brent.
245	1	0	_aContagion in the European Sovereign Debt Crisis / _cBrent Glover, Seth Richards-Shubik.
260			_aCambridge, Mass. _bNational Bureau of Economic Research _c2014.
300			_a1 online resource: _billustrations (black and white);
490	1		_aNBER working paper series _vno. w20567
500			_aOctober 2014.
520	3		_aWe use a network model of credit risk to measure market expectations of the potential spillovers from a sovereign default. Specifically, we develop an empirical model, based on the recent theoretical literature on contagion in financial networks, and estimate it with data on sovereign credit default swap spreads and the detailed structure of financial linkages among thirteen European sovereigns from 2005 to 2011. Simulations from the estimated model show that a sovereign default generates only small spillovers to other sovereigns. These results imply that credit markets do not demand a significant premium for the interconnectedness of sovereign debt in Europe.
530			_aHardcopy version available to institutional subscribers
538			_aSystem requirements: Adobe [Acrobat] Reader required for PDF files.
538			_aMode of access: World Wide Web.
588	0		_aPrint version record
690		7	_aD85 - Network Formation and Analysis: Theory _2Journal of Economic Literature class.
690		7	_aF34 - International Lending and Debt Problems _2Journal of Economic Literature class.
690		7	_aF36 - Financial Aspects of Economic Integration _2Journal of Economic Literature class.
690		7	_aG01 - Financial Crises _2Journal of Economic Literature class.
690		7	_aL14 - Transactional Relationships • Contracts and Reputation • Networks _2Journal of Economic Literature class.
700	1		_aRichards-Shubik, Seth.
710	2		_aNational Bureau of Economic Research.
830		0	_aWorking Paper Series (National Bureau of Economic Research) _vno. w20567.
856	4	0	_uhttps://www.nber.org/papers/w20567
856			_yAcceso en línea al DOI _uhttp://dx.doi.org/10.3386/w20567
942			_2ddc _cW-PAPER
999			_c327555 _d286117