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A publicação pode ser exportada nos seguintes formatos: referência da APA (American Psychological Association), referência do IEEE (Institute of Electrical and Electronics Engineers), BibTeX e RIS.

Exportar Referência (APA) 
Oliveira, L., Curto, J. D. & Nunes, J. P. (2012). The determinants of sovereign credit spread changes in the Euro-zone. Journal of International Financial Markets, Institutions & Money. 22 (2), 278-304
Exportar Referência (IEEE) 
L. A. Oliveira et al.,  "The determinants of sovereign credit spread changes in the Euro-zone", in Journal of Int. Financial Markets, Institutions & Money, vol. 22, no. 2, pp. 278-304, 2012
Exportar BibTeX 
@article{oliveira2012_1720211286298,
	author = "Oliveira, L. and Curto, J. D. and Nunes, J. P.",
	title = "The determinants of sovereign credit spread changes in the Euro-zone",
	journal = "Journal of International Financial Markets, Institutions & Money",
	year = "2012",
	volume = "22",
	number = "2",
	doi = "10.1016/j.intfin.2011.09.007",
	pages = "278-304",
	url = "http://www.sciencedirect.com/science/article/pii/S1042443111000680"
}
Exportar RIS 
TY  - JOUR
TI  - The determinants of sovereign credit spread changes in the Euro-zone
T2  - Journal of International Financial Markets, Institutions & Money
VL  - 22
IS  - 2
AU  - Oliveira, L.
AU  - Curto, J. D.
AU  - Nunes, J. P.
PY  - 2012
SP  - 278-304
SN  - 1042-4431
DO  - 10.1016/j.intfin.2011.09.007
UR  - http://www.sciencedirect.com/science/article/pii/S1042443111000680
AB  - Using a database of Euro-denominated government bonds covering the period from January 2000 to December 2010, this paper provides an empirical analysis of the determinants of government credit spreads in the Euro-area. The analysis is divided into two sub-periods delimited by the global financial crisis that started in August 2007. We find evidence of a clear shift in the behavior of market participants from a convergence-trade expectation, based on market related factors, before August 2007, to one mainly driven by macroeconomic country-specific variables and an international common risk factor. There is no evidence of a significant role for the liquidity risk before or during the financial crisis period. Overall, our results give support to the Merton-type structural credit risk models and confirm that there are considerable similarities between the factors explaining the dynamics of the credit risk spreads and the factors driving the prices on the government bond markets.
ER  -