Peter Claeys

Vrije Universiteit Brussel

Peter Claeys is Assistant Professor at the Vrije Universiteit Brussel and is mainly working as macro-econometrician on modeling various aspects of policy spillover, using different types empirical tools for testing models of fiscal or monetary policy coming from (international) macroeconomics, finance, monetary economics or network models. He has been working at the Universitat de Barcelona, as a Marie Curie Fellow at AQR-IREA after getting his PhD in Economics from the European University Institute.

Articles by Peter Claeys

Original research

Systemic risk and the sovereign-bank default nexus: a network vector autoregression approach

This paper investigates European bond markets; looking at credit risk spillover effects between financial institutions and sovereigns in the euro area.

07 Dec 2015

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