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EMU Sovereign Debt Market Crisis : Fundamentals-Based or Pure Contagion?
Gómez-Puig, Marta - 2014
fundamentals-based or pure contagion. To do so, we examine the behaviour of EMU sovereign bond yield spreads with respect to the … contagion) and episodes of significantly reduced interconnection (which we associate with immunisation). We then use an ordered … variables proxying market sentiment and of variables proxying macrofundamentals in determining contagion and immunisation …
Persistent link: https://www.econbiz.de/10013054304
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Causes and hazards of the euro area sovereign debt crisis : pure and fundamentals-based contagion
Gómez Puig, Marta; Sosvilla-Rivero, Simón - In: Economic modelling 56 (2016), pp. 133-147
Persistent link: https://www.econbiz.de/10011646024
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Sovereign risk contagion in the Eurozone : a time-varying coefficient approach
Ludwig, Alexander - 2013
This paper analyzes sovereign risk contagion in the Eurozone using an extension to the canonical model for contagion … contagion in typically bounded time intervals. Controlling for changes in the risk pricing by investors, we detect several … channels of pure contagion between 2008 and 2012. Further, we find that the bailout-programs for Greece, Ireland and Portugal …
Persistent link: https://www.econbiz.de/10010222446
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Euro Area Sovereign Risk Spillovers Before and after the Ecb's OMT Announcement
Gilbert, Niels D. - 2019
eliminating equilibrium multiplicity, has largely stopped contagion …
Persistent link: https://www.econbiz.de/10012870566
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Volatility Spillovers in EMU Sovereigns Bond Markets
Fernández Rodríguez, Fernando - 2015
We analyse volatility spillovers in EMU sovereign bond markets. First, we examine the unconditional patterns during the full sample (April 1999-January 2014) using a measure recently proposed by Diebold and Yılmaz (2012). Second, we make use of a dynamic analysis to evaluate net directional...
Persistent link: https://www.econbiz.de/10013028329
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Financial Stress Transmission in EMU Sovereign Bond Market Volatility : A Connectedness Analysis
Fernández Rodríguez, Fernando - 2015
This paper measures the connectedness in EMU sovereign market volatility between April 1999 and January 2014, in order to monitor stress transmission and to identify episodes of intensive spillovers from one country to the others. To this end, we first perform a static and dynamic analysis to...
Persistent link: https://www.econbiz.de/10013028923
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Europe needs more than a Capital Markets Union : focus on the integration of euro area sovereign debt markets
Breitenfellner, Andreas; Schuberth, Helene - In: Vierteljahrshefte zur Wirtschaftsforschung 86 (2017) 2, pp. 9-20
With a view to establishing a Capital Markets Union (CMU), efforts to integrate (private) capital markets and private risk-sharing in the European Union are underway. However, the single (capital) market will be burdened by a perennial potential threat to sovereign bond market stability in the...
Persistent link: https://www.econbiz.de/10012051172
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Determinants of European stock market integration
Büttner, David; Hayo, Bernd - 2009
We analyse the determinants of stock market integration among EU member states for the period 19992007. First, we apply bivariate DCC-MGARCH models to extract dynamic conditional correlations between European stock markets, which are then explained by interest rate spreads, exchange rate risk,...
Persistent link: https://www.econbiz.de/10003888969
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EMU and European government bond market integration
Abad, Pilar; Chuliá, Helena; Gómez Puig, Marta - 2009
The main objective of this paper is to study whether the introduction of the euro had an impact on the degree of integration of European Government bond markets. We adopt the CAPM-based model of Bekaert and Harvey (1995) to compare, from the beginning of Monetary Union until June 2008, the...
Persistent link: https://www.econbiz.de/10003963733
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Determinants of European Stock Market Integration
Buettner, David; Hayo, Bernd - 2009
We analyse the determinants of stock market integration among EU member states for the period 1999–2007. First, we apply bivariate DCC-MGARCH models to extract dynamic conditional correlations between European stock markets, which are then explained by interest rate spreads, exchange rate...
Persistent link: https://www.econbiz.de/10014206060