Since 2014
Financial Contagion During the European Sovereign Debt Crisis
Journal of Economic & Financial Studies
View Archive Info| Field | Value | |
| Title |
Financial Contagion During the European Sovereign Debt Crisis
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| Creator |
Smeets, Dieter
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| Subject |
Economics, Finance (Crisis news; Financial contagion; GARCH models; Sovereign debt crisis.)
Financial contagion, sovereign debt crisis, GARCH models, rating announcements, crisis news F34; F36; G01; H63. |
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| Description |
From early 2010, the Euro Area has faced a severe sovereign debt crisis. I use multi- and univariate EGARCH-models to assess whether contagious effects are identifiable during this crisis, or whether countries’ problems are instead due to fundamental problems founded in the affected economies themselves. The multivariate analysis reveals a generally decreasing co-movement of government bond returns which increased only temporarily. In contrast, the univariate analysis is directed more to detecting channels of contagion. The analysis of rating announcements concerning Greece as well as crisis news in general, reveals that there are some evidences for mean and volatility contagion.
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| Publisher |
LAR Center Press
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| Contributor |
—
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| Date |
2016-05-08
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| Type |
info:eu-repo/semantics/article
info:eu-repo/semantics/publishedVersion Peer-reviewed Article |
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| Format |
application/pdf
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| Identifier |
http://journalofeconomics.org/index.php/site/article/view/199
10.18533/jefs.v4i02.199 |
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| Source |
Journal of Economic & Financial Studies; Vol 4, No 02 (2016): April; 46-59
2379-9471 2379-9463 |
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| Language |
eng
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| Relation |
http://journalofeconomics.org/index.php/site/article/view/199/285
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| Rights |
Copyright (c) 2016 Dieter Smeets
http://creativecommons.org/licenses/by/4.0 |
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