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Spillover in Euro Area Sovereign Bond Markets

The Economic and Social Review

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Title Spillover in Euro Area Sovereign Bond Markets
 
Creator Conefrey, Thomas
Cronin, David
 
Subject eurozone; sovereign bond markets
 
Description This paper applies the Diebold and Yilmaz (2009, 2012) spillover methodology to euro area sovereign bond markets. Our analysis identifies different phases of interaction in those markets in recent years. We find a substantial increase in spillover between euro area sovereign bond markets coinciding with the bailout of Bear Stearns in March 2008. The phase of the euro area crisis from the first Greece bailout in May 2010 until the end of 2011 saw a reversal of the longstanding pattern whereby events in core euro area member state sovereign bond markets exercised a positive net influence on the periphery. In particular, the first Greece bailout coincided with significant positive net spillover from peripheral member states to the core countries. More recently, improved market conditions have seen the pre-2008 pattern re-established with the core having a stronger net impact on peripheral euro area sovereign bond markets. The analysis points to Greece having become relatively detached from other bond markets since its second bailout in March 2012. The spillover index and its components can be updated on an ongoing basis as new data become available and can provide useful information to policymakers and analysts alike.NB: Corrigendum http://www.esr.ie/article/downloadSuppFile/340/128
 
Publisher The Economic and Social Review
 
Contributor —
 
Date 2015-06-22
 
Type info:eu-repo/semantics/article
info:eu-repo/semantics/publishedVersion
Peer-reviewed Article
 
Format application/pdf
 
Identifier http://www.esr.ie/article/view/340
 
Source The Economic and Social Review; Vol 46, No 2, Summer (2015); 197–231
0012-9984
 
Language eng
 
Relation http://www.esr.ie/article/view/340/108
http://www.esr.ie/article/downloadSuppFile/340/128
 
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