MARC details
| 000 -LEADER |
|---|
| fixed length control field |
01824nam a22002537a 4500 |
| 003 - CONTROL NUMBER IDENTIFIER |
|---|
| control field |
ZW-GwMSU |
| 005 - DATE AND TIME OF LATEST TRANSACTION |
|---|
| control field |
20240424082343.0 |
| 008 - FIXED-LENGTH DATA ELEMENTS--GENERAL INFORMATION |
|---|
| fixed length control field |
230628b |||||||| |||| 00| 0 eng d |
| 022 ## - INTERNATIONAL STANDARD SERIAL NUMBER |
|---|
| International Standard Serial Number |
13504851 |
| 040 ## - CATALOGING SOURCE |
|---|
| Original cataloging agency |
MSU |
| Transcribing agency |
MSU |
| Description conventions |
rda |
| Language of cataloging |
English |
| 050 00 - LIBRARY OF CONGRESS CALL NUMBER |
|---|
| Classification number |
HB1.A666 APP |
| 100 1# - MAIN ENTRY--PERSONAL NAME |
|---|
| Personal name |
Tamakoshi, Go |
| Relator term |
author |
| 245 10 - TITLE STATEMENT |
|---|
| Title |
Volatility and mean spillovers between sovereign and banking sector CDS markets |
| Remainder of title |
a note on the European sovereign debt crisis |
| Statement of responsibility, etc. |
created by Go Tamakoshi and Shigeyuki Hamori |
| 264 1# - PRODUCTION, PUBLICATION, DISTRIBUTION, MANUFACTURE, AND COPYRIGHT NOTICE |
|---|
| Place of production, publication, distribution, manufacture |
New York: |
| Name of producer, publisher, distributor, manufacturer |
Taylor and Francis, |
| Date of production, publication, distribution, manufacture, or copyright notice |
2013. |
| 336 ## - CONTENT TYPE |
|---|
| Source |
rdacontent |
| Content type term |
text |
| Content type code |
txt |
| 337 ## - MEDIA TYPE |
|---|
| Source |
rdamedia |
| Media type term |
unmediated |
| Media type code |
n |
| 338 ## - CARRIER TYPE |
|---|
| Source |
rdacarrier |
| Carrier type term |
volume |
| Carrier type code |
nc |
| 440 ## - SERIES STATEMENT/ADDED ENTRY--TITLE |
|---|
| Title |
Applied economics letters |
| Volume/sequential designation |
Volume 20, number 3 |
| 520 3# - SUMMARY, ETC. |
|---|
| Summary, etc. |
This article empirically assesses causality-in-variance and causality-in-mean between the Eurozone banking sector Credit Default Swap (CDS) index and the Greek sovereign CDS spread. We employ the Cross-Correlation Function (CCF) approach developed by Hong (2001) to daily data from January 2008 to December 2011. Our key findings are twofold. First, before the European sovereign debt crisis, significant unidirectional causality-in-variance and causality-in-mean were found from the bank CDS to the Greek sovereign CDS spreads. Second, during the crisis period, we detected significant causality-in-variance from the Greek sovereign CDS spreads to the bank CDS, implying that the deteriorated Greek sovereign solvency might have triggered contagion effects on the banking sector in the area. Our results are relevant for policymakers who provide regulations for the CDS markets. |
| 650 ## - SUBJECT ADDED ENTRY--TOPICAL TERM |
|---|
| Topical term or geographic name entry element |
European sovereign debt crisis |
| Form subdivision |
Credit default swap |
| General subdivision |
Bank sector CDS |
| 700 1# - ADDED ENTRY--PERSONAL NAME |
|---|
| Personal name |
Hamori, Shigeyuki |
| Relator term |
co author |
| 856 ## - ELECTRONIC LOCATION AND ACCESS |
|---|
| Uniform Resource Identifier |
https://doi.org/10.1080/13504851.2012.689107 |
| 942 ## - ADDED ENTRY ELEMENTS (KOHA) |
|---|
| Source of classification or shelving scheme |
Library of Congress Classification |
| Koha item type |
Journal Article |