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Measuring bilateral spillover and testing contagion on sovereign bond markets in Europe
Claeys, Peter; Vašíček, Bořek - 2014
test for contagion by applying the multivariate structural break test of Qu and Perron (2007) on this FAVAR detecting … Spain are central to shock transmission during the financial crisis. Contagion has been a rather rare phenomenon limited to … frequent surges in market co-movement are driven by larger shocks rather than by contagion. …
Persistent link: https://www.econbiz.de/10011605711
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Measuring bilateral spillover and testing contagion on sovereign bond markets in Europe
Claeys, Peter; Vašíček, Bořek - In: Journal of banking & finance 46 (2014), pp. 151-165
Persistent link: https://www.econbiz.de/10010467833
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Systemic risk and the sovereign-bank default nexus : a network vector autoregression approach
Claeys, Peter; Vašíček, Bořek - In: The journal of network theory in finance 1 (2015) 4, pp. 27-72
Persistent link: https://www.econbiz.de/10011449789
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Measuring Sovereign Bond Spillover in Europe and the Impact of Rating News
Claeys, Peter; Vasicek, Borek - Česká Národní Banka - 2012
Although there is by now strong evidence that sovereign risk premia are driven by a common factor, little is known about the detailed linkages between sovereign bond markets. We employ the VAR method by Diebold and Yilmaz (2009) to analyse the strength and direction of bilateral linkages between...
Persistent link: https://www.econbiz.de/10010833289
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“How systemic is Spain for Europe?”
Claeys, Peter; Vašícek, Borek - Facultat d'Economia i Empresa, Universitat de Barcelona - 2013
We use the forecast-error variance decompositions from a VAR with daily sovereign bonds spreads since 2000 to detail the linkages between EU sovereign bond markets and banks over time. Using new summary statistics on the matrix of bilateral linkages, we show Spain is systemic for Europe. Its...
Persistent link: https://www.econbiz.de/10010610257
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“Measuring Sovereign Bond Spillover in Europe and the Impact of Rating News”
Claeys, Peter; Vašícek, Borek - Facultat d'Economia i Empresa, Universitat de Barcelona - 2012
Although there is by now strong evidence that sovereign risk premia are driven by a common factor, little is known about the detailed linkages between sovereign bond markets. We employ the VAR method by Diebold and Yilmaz (2009) to analyse the strength and direction of bilateral linkages between...
Persistent link: https://www.econbiz.de/10010612986
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“Measuring Sovereign Bond Spillover in Europe and the Impact of Rating News”
Claeys, Peter; Vašícek, Borek - Institut de Recerca en Economia Aplicada (IREA), … - 2012
Although there is by now strong evidence that sovereign risk premia are driven by a common factor, little is known about the detailed linkages between sovereign bond markets. We employ the VAR method by Diebold and Yilmaz (2009) to analyse the strength and direction of bilateral linkages between...
Persistent link: https://www.econbiz.de/10010635859
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“How systemic is Spain for Europe?”
Claeys, Peter; Vašícek, Borek - Institut de Recerca en Economia Aplicada (IREA), … - 2013
We use the forecast-error variance decompositions from a VAR with daily sovereign bonds spreads since 2000 to detail the linkages between EU sovereign bond markets and banks over time. Using new summary statistics on the matrix of bilateral linkages, we show Spain is systemic for Europe. Its...
Persistent link: https://www.econbiz.de/10010635866
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Measuring bilateral spillover and testing contagion on sovereign bond markets in Europe
Claeys, Peter; Vašíček, Bořek - European Central Bank - 2014
test for contagion by applying the multivariate structural break test of Qu and Perron (2007) on this FAVAR detecting … Spain are central to shock transmission during the financial crisis. Contagion has been a rather rare phenomenon limited to … frequent surges in market co-movement are driven by larger shocks rather than by contagion. JEL Classification: G12, C14, E43 …
Persistent link: https://www.econbiz.de/10011067242
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Measuring bilateral spillover and testing contagion on sovereign bond markets in Europe
Claeys, Peter; Vašíček, Bořek - In: Journal of Banking & Finance 46 (2014) C, pp. 151-165
test for contagion by applying the multivariate structural break test of Qu and Perron (2007) on this FAVAR detecting … Belgium, Italy and Spain being key markets during the financial crisis. Contagion has been a rather rare phenomenon limited to … frequent surges in market co-movement are driven by larger shocks rather than by contagion. …
Persistent link: https://www.econbiz.de/10011065711