Abstract
This paper focuses on the quantitative easing policies launched by the European Central Bank (ECB), analysing their effects on the dynamics of a series of five-year sovereign credit default swap instruments that belong to seven Central and Eastern European States. In an econometric event study setup that follows the methodology developed in Albu et al. (2014), we calibrate an ARMA-GARCH model and analyse the abnormal and squared abnormal returns for each CDS instrument. The results indicate that the quantitative easing events issued by the European Central Bank have a significant effect on the evolution of the analysed sovereign credit default swap instruments.
Sign-in/Register to access full text options 
Talk to us
Join us for a 30 min session where you can share your feedback and ask us any queries you have
Schedule a callDisclaimer: All third-party content on this website/platform is and will remain the property of their respective owners and is provided on "as is" basis without any warranties, express or implied. Use of third-party content does not indicate any affiliation, sponsorship with or endorsement by them. Any references to third-party content is to identify the corresponding services and shall be considered fair use under The CopyrightLaw.
