Beetsma, Roel; de Jong, Frank; Giuliodori, Massimo; … - European Central Bank - 2014
-to-quality effect. Common news about the euro crisis and news about specific countries itself tend to raise the covariance of yields … between distressed countries, indicating potential crisis spillover effects. However, we do not detect spillover effects from … Markets Programme (SMP) mitigate the negative crisis spillovers among the distressed countries and reduce the flight …