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Time-varying contemporaneous spillovers during the European Debt Crisis

Author

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  • Marinela Adriana Finta

    (Singapore Management University, Administration Building)

  • Bart Frijns

    (Auckland University of Technology)

  • Alireza Tourani-Rad

    (Auckland University of Technology)

Abstract

This paper considers contemporaneous spillover effects between Germany and four peripheral European countries that were most affected by the European Debt Crisis, and provides evidence of bidirectional spillovers among these equity markets. We document that there is asymmetry and time variation in contemporaneous spillovers. Particularly, contemporaneous return spillovers from Germany to the peripheral equity markets is higher than the other way around. We show that European Debt Crisis led to a decrease in the contemporaneous spillover effects.

Suggested Citation

  • 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.
  • Handle: RePEc:spr:empeco:v:57:y:2019:i:2:d:10.1007_s00181-018-1480-1
    DOI: 10.1007/s00181-018-1480-1
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    Cited by:

    1. Cody Yu-Ling Hsiao & James Morley, 2022. "Debt and financial market contagion," Empirical Economics, Springer, vol. 62(4), pages 1599-1648, April.

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    More about this item

    Keywords

    Contemporaneous spillovers; Financial crises; Euro Area;
    All these keywords.

    JEL classification:

    • G1 - Financial Economics - - General Financial Markets
    • G01 - Financial Economics - - General - - - Financial Crises
    • C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models
    • C58 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Financial Econometrics

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