The Determinants of Country Risk Premium Volatility: Evidence from a Panel VAR Model
We use data for 24 European countries, spanning from 1994 to 2015, in order to examine how changes in macroeconomic conditions influence country risk premium volatility proxied by sovereign spreads variance. In the first part of the empirical analysis, we estimate the univariate generalized autoregres...
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| Principais autores: | , , |
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| Formato: | Artigo |
| Idioma: | Inglês |
| Publicado: |
The Institute of Economics, Zagreb
2017-01-01
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| Series: | Croatian Economic Survey |
| Assuntos: | |
| Acceso en liña: | https://hrcak.srce.hr/file/272129 |
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