ECB working paper says sovereign spreads driven by fundamentals
Market pricing of sovereign risk since the financial crisis has been mainly due to countries' fundamentals, despite previous research suggesting regional spillovers and contagion bear much of the blame, according to a working paper published by the European Central Bank (ECB) today.
The paper, The pricing of sovereign risk and contagion during the European sovereign debt crisis by John Beirne and Marcel Fratzscher, analyses the drivers of sovereign risk for 31 advanced and emerging economies
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