Caporale, Guglielmo Maria; Spagnolo, Fabio; Spagnolo, Nicola - DIW Berlin (Deutsches Institut für Wirtschaftsforschung) - 2014
yield spreads in all PIIGS countries but Italy before September 2008; markets respond more to negative news, and their … the PIIGS countries. Further, the conditional correlations between yield spreads and negative news are significant and … higher sensitivity of yield spreads to negative releases. …