Antonakakis, Nikolaos; Vergos, Konstantinos - In: Journal of International Financial Markets, … 26 (2013) C, pp. 258-272
In this paper we examine sovereign bond yield spread (BYS) spillovers between Euro zone countries during a turbulent period encompassing both the global financial crisis and the Euro zone debt crisis. Using the VAR-based spillover index approach of Diebold and Yilmaz (2012) and impulse response...