Contagion And Divergence On Sovereign Bond Markets
Author
Abstract
Suggested Citation
Download full text from publisher
References listed on IDEAS
- Fabrizio Durante & Enrico Foscolo & Alex Weissensteiner, 2017. "Dependence between Stock Returns of Italian Banks and the Sovereign Risk," Econometrics, MDPI, vol. 5(2), pages 1-14, June.
- Antonakakis, Nikolaos & Vergos, Konstantinos, 2013.
"Sovereign bond yield spillovers in the Euro zone during the financial and debt crisis,"
Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 26(C), pages 258-272.
- Antonakakis, Nikolaos & Vergos, Konstantinos, 2012. "Sovereign Bond Yield Spillovers in the Euro Zone During the Financial and Debt Crisis," MPRA Paper 43284, University Library of Munich, Germany.
- Beirne, John & Fratzscher, Marcel, 2013.
"The pricing of sovereign risk and contagion during the European sovereign debt crisis,"
Journal of International Money and Finance, Elsevier, vol. 34(C), pages 60-82.
- Fratzscher, Marcel & Beirne, John, 2012. "The Pricing of Sovereign Risk and Contagion during the European Sovereign Debt Crisis," CEPR Discussion Papers 9249, C.E.P.R. Discussion Papers.
- Fratzscher, Marcel & Beirne, John, 2013. "The pricing of sovereign risk and contagion during the European sovereign debt crisis," Working Paper Series 1625, European Central Bank.
- Michael Ehrmann & Marcel Fratzscher & Roberto Rigobon, 2011.
"Stocks, bonds, money markets and exchange rates: measuring international financial transmission,"
Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 26(6), pages 948-974, September.
- Ehrmann, Michael & Fratzscher, Marcel & Rigobon, Roberto, 2005. "Stocks, bonds, money markets and exchange rates: measuring international financial transmission," Working Paper Series 452, European Central Bank.
- Michael Ehrmann & Marcel Fratzscher & Roberto Rigobon, 2005. "Stocks, Bonds, Money Markets and Exchange Rates: Measuring International Financial Transmission," NBER Working Papers 11166, National Bureau of Economic Research, Inc.
- Arghyrou, Michael G. & Kontonikas, Alexandros, 2012.
"The EMU sovereign-debt crisis: Fundamentals, expectations and contagion,"
Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 22(4), pages 658-677.
- Arghyrou, Michael G & Kontonikas, Alexandros, 2010. "The EMU sovereign-debt crisis: Fundamentals, expectations and contagion," Cardiff Economics Working Papers E2010/9, Cardiff University, Cardiff Business School, Economics Section.
- Arghyrou, Michael G. & Kontonikas, Alexandros, 2011. "The EMU sovereign-debt crisis: fundamentals, expectations and contagion," SIRE Focus Papers 2011-01, Scottish Institute for Research in Economics (SIRE).
- Michael G. Arghyrou & Alexandros Kontonikas, 2011. "The EMU sovereign-debt crisis: Fundamentals, expectations and contagion," European Economy - Economic Papers 2008 - 2015 436, Directorate General Economic and Financial Affairs (DG ECFIN), European Commission.
- Michael G. Arghyrou & Alexandros Kontonikas, 2010. "The EMU sovereign-debt crisis: Fundamentals, expectations and contagion," Working Papers 2010_25, Business School - Economics, University of Glasgow.
- Arghyrou, Michael G. & Kontonikas, Alexandros, 2010. "The EMU sovereign-debt crisis: Fundamentals, expectations and contagion," SIRE Discussion Papers 2010-81, Scottish Institute for Research in Economics (SIRE).
- John Muellbauer, 2013.
"Conditional eurobonds and the eurozone sovereign debt crisis,"
Oxford Review of Economic Policy, Oxford University Press and Oxford Review of Economic Policy Limited, vol. 29(3), pages 610-645, AUTUMN.
- John Muellbauer, 2013. "Conditional Eurobonds and the Eurozone Sovereign Debt Crisis," Economics Series Working Papers 681, University of Oxford, Department of Economics.
- Mink, Mark & de Haan, Jakob, 2013. "Contagion during the Greek sovereign debt crisis," Journal of International Money and Finance, Elsevier, vol. 34(C), pages 102-113.
- Faruk Balli, 2009.
"Spillover effects on government bond yields in euro zone. Does full financial integration exist in European government bond markets?,"
Journal of Economics and Finance, Springer;Academy of Economics and Finance, vol. 33(4), pages 331-363, October.
- Balli, Faruk, 2008. "Spillover Effects on Government Bond Yields in Euro Zone. Does Full Financial Integration Exist in European Government Bond Markets?," MPRA Paper 10162, University Library of Munich, Germany.
- Jacques Mazier & Pascal Petit, 2013.
"In search of sustainable paths for the eurozone in the troubled post-2008 world,"
Cambridge Journal of Economics, Cambridge Political Economy Society, vol. 37(3), pages 513-532.
- Jacques Mazier & Pascal Petit, 2013. "In search of sustainable paths for the euro zone in the trouble post-2008 world," Post-Print hal-01367465, HAL.
- Fabrizio Durante & Piotr Jaworski, 2010. "Spatial contagion between financial markets: a copula‐based approach," Applied Stochastic Models in Business and Industry, John Wiley & Sons, vol. 26(5), pages 551-564, September.
- Paul Embrechts, 2009. "Copulas: A Personal View," Journal of Risk & Insurance, The American Risk and Insurance Association, vol. 76(3), pages 639-650, September.
Most related items
These are the items that most often cite the same works as this one and are cited by the same works as this one.- Guidolin, Massimo & Pedio, Manuela, 2017.
"Identifying and measuring the contagion channels at work in the European financial crises,"
Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 48(C), pages 117-134.
- Massimo Guidolin & Manuela Pedio, 2016. "Identifying and Measuring the Contagion Channels at Work in the European Financial Crises," Working Papers 586, IGIER (Innocenzo Gasparini Institute for Economic Research), Bocconi University.
- Marinela Adriana Finta & Bart Frijns & Alireza Tourani-Rad, 2019. "Time-varying contemporaneous spillovers during the European Debt Crisis," Empirical Economics, Springer, vol. 57(2), pages 423-448, August.
- Victor Echevarria Icaza & Simón Sosvilla-Rivero, 2017.
"Yields on sovereign debt, fragmentation and monetary policy transmission in the euro area: A GVAR approach,"
Working Papers
17-01, Asociación Española de Economía y Finanzas Internacionales.
- Victor Echevarria-Icaza & Simón Sosvilla-Rivero, 2017. "Yields on sovereign debt, fragmentation and monetary policy transmission in the euro area: A GVAR approach," Working Papers del Instituto Complutense de Estudios Internacionales 1703, Universidad Complutense de Madrid, Instituto Complutense de Estudios Internacionales.
- Shahzad, Syed Jawad Hussain & Nor, Safwan Mohd & Kumar, Ronald Ravinesh & Mensi, Walid, 2017. "Interdependence and contagion among industry-level US credit markets: An application of wavelet and VMD based copula approaches," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 466(C), pages 310-324.
- T. Flavin & M.Dongey & L. Sheenan, 2020.
"Banks and Sovereigns: Did adversity bring them closer?,"
Economics Department Working Paper Series
n307-20.pdf, Department of Economics, National University of Ireland - Maynooth.
- Dungey, Mardi H. & Flavin, Thomas & Sheenan, Lisa, 2020. "Banks and Sovereigns: Did Adversity Bring Them Closer?," QBS Working Paper Series 2020/05, Queen's University Belfast, Queen's Business School.
- Iván Kataryniuk & Víctor Mora-Bajén & Javier J. Pérez, 2021. "EMU deepening and sovereign debt spreads: using political space to achieve policy space," Working Papers 2103, Banco de España.
- Ludwig, Alexander, 2014. "A unified approach to investigate pure and wake-up-call contagion: Evidence from the Eurozone's first financial crisis," Journal of International Money and Finance, Elsevier, vol. 48(PA), pages 125-146.
- Cronin, David & Flavin, Thomas J. & Sheenan, Lisa, 2016.
"Contagion in Eurozone sovereign bond markets? The good, the bad and the ugly,"
Economics Letters, Elsevier, vol. 143(C), pages 5-8.
- Thomas Flavin & David Cronin & Lisa Sheenan, 2016. "Contagion in Eurozone Sovereign Bond Markets? The Good, the Bad and the Ugly," Economics Department Working Paper Series n267-16.pdf, Department of Economics, National University of Ireland - Maynooth.
- Cronin, David & Flavin, Thomas J. & Sheenan, Lisa, 2016. "Contagion in Eurozone Sovereign Bond Markets? The Good, the Bad and the Ugly," Research Technical Papers 03/RT/16, Central Bank of Ireland.
- Smolik, Filip & Vacha, Lukas, 2015. "Time-scale analysis of sovereign bonds market co-movement in the EU," FinMaP-Working Papers 44, Collaborative EU Project FinMaP - Financial Distortions and Macroeconomic Performance: Expectations, Constraints and Interaction of Agents.
- Dumitriu, Ramona & Stefanescu, Răzvan, 2020. "Iluzii financiare, Partea întâi [Financial Illusions, Part 1]," MPRA Paper 101201, University Library of Munich, Germany, revised 17 Jun 2020.
- Debarsy, Nicolas & Dossougoin, Cyrille & Ertur, Cem & Gnabo, Jean-Yves, 2018.
"Measuring sovereign risk spillovers and assessing the role of transmission channels: A spatial econometrics approach,"
Journal of Economic Dynamics and Control, Elsevier, vol. 87(C), pages 21-45.
- DEBARSY, Nicolas & DOSSOUGOIN, Cyrille & ERTUR, Cem & GNABO, Jean-Yves, 2016. "Measuring sovereign risk spillovers and assessing the role of transmission channels: a spatial econometrics approach," LIDAM Discussion Papers CORE 2016053, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
- Nicolas Debarsy & Cyrille Dossougoin & Cem Ertur & Jean-Yves Gnabo, 2018. "Measuring sovereign risk spillovers and assessing the role of transmission channels: A spatial econometrics approach," LIDAM Reprints CORE 2937, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
- Nicolas DEBARSY & CYRILLE DOSSOUGOIN & Cem ERTUR & Jean-Yves GNABO, 2016. "Measuring Sovereign Risk Spillovers and Assessing the Role of Transmission Channels: A Spatial Econometrics Approach," LEO Working Papers / DR LEO 2441, Orleans Economics Laboratory / Laboratoire d'Economie d'Orleans (LEO), University of Orleans.
- Nicolas Debarsy & Cyrille Dossougoin & Cem Ertur & Jean-Yves Gnabo, 2018. "Measuring sovereign risk spillovers and assessing the role of transmission channels: A spatial econometrics approach," Post-Print hal-01744629, HAL.
- Wu, Eliza & Erdem, Magdalena & Kalotychou, Elena & Remolona, Eli, 2016. "The anatomy of sovereign risk contagion," Journal of International Money and Finance, Elsevier, vol. 69(C), pages 264-286.
- Gómez-Puig, Marta & Sosvilla-Rivero, Simón, 2016. "Causes and hazards of the euro area sovereign debt crisis: Pure and fundamentals-based contagion," Economic Modelling, Elsevier, vol. 56(C), pages 133-147.
- Philippas, Dionisis & Siriopoulos, Costas, 2013. "Putting the “C” into crisis: Contagion, correlations and copulas on EMU bond markets," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 27(C), pages 161-176.
- Dimitris A. Georgoutsos & Petros M. Migiakis, 2018. "Risk perceptions and fundamental effects on sovereign spreads," Working Papers 250, Bank of Greece.
- Joshua Aizenman & Mahir Binici & Michael Hutchison, 2013.
"Credit ratings and the pricing of sovereign debt during the euro crisis,"
Oxford Review of Economic Policy, Oxford University Press and Oxford Review of Economic Policy Limited, vol. 29(3), pages 582-609, AUTUMN.
- Joshua Aizenman & Mahir Binici & Michael M. Hutchison, 2013. "Credit Ratings and the Pricing of Sovereign Debt during the Euro Crisis," NBER Working Papers 19125, National Bureau of Economic Research, Inc.
- Joshua Aizenman & Mahir Binici & Michael Mercier Hutchison, 2013. "Credit Ratings and the Pricing of Sovereign Debt during the Euro Crisis," EY International Congress on Economics I (EYC2013), October 24-25, 2013, Ankara, Turkey 5, Ekonomik Yaklasim Association.
- Lotfi, Somayyeh & Milidonis, Andreas & Zenios, Stavros A., 2024. "Mispricing of debt expansion in the eurozone sovereign credit market," Journal of Financial Stability, Elsevier, vol. 70(C).
- Ludwig, Alexander, 2013.
"Sovereign risk contagion in the Eurozone: A time-varying coefficient approach,"
Dresden Discussion Paper Series in Economics
02/13, Technische Universität Dresden, Faculty of Business and Economics, Department of Economics.
- Ludwig, Alexander, 2013. "Sovereign risk contagion in the Eurozone: a time-varying coefficient approach," MPRA Paper 52340, University Library of Munich, Germany.
- Greenwood-Nimmo, Matthew & Nguyen, Viet Hoang & Shin, Yongcheol, 2023. "What is mine is yours: Sovereign risk transmission during the European debt crisis," Journal of Financial Stability, Elsevier, vol. 65(C).
- Antonakakis, Nikolaos & Christou, Christina & Cunado, Juncal & Gupta, Rangan, 2017.
"Convergence patterns in sovereign bond yield spreads: Evidence from the Euro Area,"
Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 49(C), pages 129-139.
- Nikolaos Antonakakis & Christina Christou & Juncal Cunado & Rangan Gupta, 2016. "Convergence Patterns in Sovereign Bond Yield Spreads: Evidence from the Euro Area," Working Papers 201616, University of Pretoria, Department of Economics.
More about this item
Keywords
sovereign credit risk; global debt market; contagion effect; divergence effect; stochastic modeling; copulas;All these keywords.
Statistics
Access and download statisticsCorrections
All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:cpn:umkcjf:v:6:y:2017:i:4:p:39-68. See general information about how to correct material in RePEc.
If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.
If CitEc recognized a bibliographic reference but did not link an item in RePEc to it, you can help with this form .
If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Miroslawa Buczynska (email available below). General contact details of provider: http://www.wydawnictwoumk.pl .
Please note that corrections may take a couple of weeks to filter through the various RePEc services.