Zoltan Monostori

Morgan Stanley

Hungary

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The Role of Country-Specific Fundamentals in Sovereign CDS Spreads: Eastern European Experiences

Emerging Markets Review, Vol. 27, 2016
Number of pages: 29 Posted: 23 Feb 2015 Last Revised: 12 Jun 2016
Zalan Kocsis and Zoltan Monostori
Magyar Nemzeti Bank and Morgan Stanley
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Abstract:

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sovereign CDS spreads, country-specific fundamentals, dynamic hierarchical factor model, Eastern Europe