THE IMPACT OF PROBABILITY OF DEFAULT AND SOVEREIGN RISK ON ECONOMIC GROWTH VARIANCE

STRACHINARU Adina-Ionela, Bucharest University of Economic Studies, Romania

Abstract:
The banking crises create the need to capture, in the most refined form possible, the vulnerabilities of the banking system. Early warning indicators help in capturing signals that predict, in a timely manner, the likelihood of a banking crisis. In addition, the sovereign risk, captured by CDS 5Y, proved to have a major impact on the probability of default, which negatively influenced economic growth. The results were captured using a Vector Autoregression Model on a sample of EU member states.

Keywords: gross domestic product, impulse response function, probability of default, sovereign risk, VAR model, variance decomposition

JEL Classification: A10, D81

Volume: 73, Issue: 3

Pages: 171 - 185

Publication date: October, 2021

DOI: 10.56043/reveco-2021-0030

Download the article: http://economice.ulbsibiu.ro/revista.economica/archive/73309strachinaru.pdf

”Cite