Interaction in euro area sovereign bond markets during the financial crisis
Author
Abstract
Suggested Citation
DOI: 10.1007/s10272-014-0502-2
Download full text from publisher
As the access to this document is restricted, you may want to search for a different version of it.
References listed on IDEAS
- Ashoka Mody & Damiano Sandri, 2012.
"The eurozone crisis: how banks and sovereigns came to be joined at the hip [‘A pyrrhic victory? Bank bailouts and sovereign credit risk’],"
Economic Policy, CEPR, CESifo, Sciences Po;CES;MSH, vol. 27(70), pages 199-230.
- Mr. Damiano Sandri & Mr. Ashoka Mody, 2011. "The Eurozone Crisis: How Banks and Sovereigns Came to Be Joined At the Hip," IMF Working Papers 2011/269, International Monetary Fund.
- De Santis, Roberto A., 2012. "The Euro area sovereign debt crisis: safe haven, credit rating agencies and the spread of the fever from Greece, Ireland and Portugal," Working Paper Series 1419, European Central Bank.
- Berkowitz, Jeremy, 2001. "Testing Density Forecasts, with Applications to Risk Management," Journal of Business & Economic Statistics, American Statistical Association, vol. 19(4), pages 465-474, October.
- Mr. Ashoka Mody, 2009. "From Bear Stearns to Anglo Irish: How Eurozone Sovereign Spreads Related to Financial Sector Vulnerability," IMF Working Papers 2009/108, International Monetary Fund.
- Viral Acharya & Itamar Drechsler & Philipp Schnabl, 2014.
"A Pyrrhic Victory? Bank Bailouts and Sovereign Credit Risk,"
Journal of Finance, American Finance Association, vol. 69(6), pages 2689-2739, December.
- Viral V. Acharya & Itamar Drechsler & Philipp Schnabl, 2011. "A Pyrrhic Victory? - Bank Bailouts and Sovereign Credit Risk," NBER Working Papers 17136, National Bureau of Economic Research, Inc.
- Acharya, Viral & Schnabl, Philipp & Drechsler, Itamar, 2011. "A Pyrrhic Victory? Bank Bailouts and Sovereign Credit Risk," CEPR Discussion Papers 8679, C.E.P.R. Discussion Papers.
- Thomas Conefrey & David Cronin, 2015.
"Spillover in Euro Area Sovereign Bond Markets,"
The Economic and Social Review, Economic and Social Studies, vol. 46(2), pages 197-231.
- Conefrey, Thomas & Cronin, David, 2013. "Spillover in Euro Area Sovereign Bond Markets," Research Technical Papers 05/RT/13, Central Bank of Ireland.
- De Grauwe, Paul & Ji, Yuemei, 2013.
"Self-fulfilling crises in the Eurozone: An empirical test,"
Journal of International Money and Finance, Elsevier, vol. 34(C), pages 15-36.
- De Grauwe, Paul & Ji, Yuemei, 2012. "Self-Fulfilling Crises in the Eurozone: An Empirical Test," CEPS Papers 7085, Centre for European Policy Studies.
- Paul De Grauwe & Yuemei Ji, 2012. "Self-Fulfilling Crises in the Eurozone. An Empirical Test," CESifo Working Paper Series 3821, CESifo.
- de Grauwe, Paul & Ji, Yuemei, 2013. "Self-fulfilling crises in the Eurozone: an empirical test," LSE Research Online Documents on Economics 49648, London School of Economics and Political Science, LSE Library.
- Paul De Grauwe & Yuemei Ji, 2012. "Self-Fulfilling Crises in the Eurozone. An Empirical Test," CAMA Working Papers 2012-37, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University.
- Diebold, Francis X. & Yilmaz, Kamil, 2012.
"Better to give than to receive: Predictive directional measurement of volatility spillovers,"
International Journal of Forecasting, Elsevier, vol. 28(1), pages 57-66.
- Francis X. Diebold & Kamil Yilmaz, 2010. "Better to Give than to Receive: Predictive Directional Measurement of Volatility Spillovers," Koç University-TUSIAD Economic Research Forum Working Papers 1001, Koc University-TUSIAD Economic Research Forum, revised Mar 2010.
- De Grauwe, Paul & Ji, Yuemei, 2014. "Disappearing government bond spreads in the eurozone – Back to normal?," CEPS Papers 9249, Centre for European Policy Studies.
- Viral Acharya & Itamar Drechsler & Philipp Schnabl, 2014.
"A Pyrrhic Victory? Bank Bailouts and Sovereign Credit Risk,"
Journal of Finance,
American Finance Association, vol. 69(6), pages 2689-2739, December.
- Acharya, Viral V & Drechsler, Itamar & Schnabl, Philipp, 2011. "A Pyrrhic Victory? Bank Bailouts and Sovereign Credit Risk," CEPR Discussion Papers 8679, C.E.P.R. Discussion Papers.
- Viral Acharya & Itamar Drechsler & Philipp Schnabl, 2011. "A Pyrrhic Victory? Bank Bailouts and Sovereign Credit Risk," Working Papers 2012-004, Becker Friedman Institute for Research In Economics.
- Viral V. Acharya & Itamar Drechsler & Philipp Schnabl, 2011. "A Pyrrhic Victory? - Bank Bailouts and Sovereign Credit Risk," NBER Working Papers 17136, National Bureau of Economic Research, Inc.
- Miguel A. Segoviano & Carlos Caceres & Vincenzo Guzzo, 2010. "Sovereign Spreads: Global Risk Aversion, Contagion or Fundamentals?," IMF Working Papers 2010/120, International Monetary Fund.
- Jushan Bai & Pierre Perron, 2003.
"Computation and analysis of multiple structural change models,"
Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 18(1), pages 1-22.
- BAI, Jushan & PERRON, Pierre, 1998. "Computation and Analysis of Multiple Structural-Change Models," Cahiers de recherche 9807, Universite de Montreal, Departement de sciences economiques.
- Tom Doan, "undated". "MULTIPLEBREAKS: RATS procedure to perform multiple structural change analysis," Statistical Software Components RTS00138, Boston College Department of Economics.
- Tom Doan, "undated". "RATS programs to replicate examples of Bai-Perron procedure," Statistical Software Components RTZ00008, Boston College Department of Economics.
- Tom Doan, "undated". "BAIPERRON: RATS procedure to perform Bai-Perron Test for Multiple Structural Changes," Statistical Software Components RTS00013, Boston College Department of Economics.
- Sebastian Missio & Sebastian Watzka, 2011. "Financial Contagion and the European Debt Crisis," CESifo Working Paper Series 3554, CESifo.
Citations
Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
Cited by:
- David Cronin & Peter Dunne & Kieran McQuinn, 2019.
"Have Irish Sovereign Bonds Decoupled from the Euro Area Periphery, and Why?,"
The Economic and Social Review, Economic and Social Studies, vol. 50(3), pages 529-556.
- Cronin, David & Dunne, Peter & McQuinn, Kieran, 2019. "Have Irish sovereign bonds decoupled from the euro area periphery, and why?," Papers WP625, Economic and Social Research Institute (ESRI).
- Ahmad, Wasim & Sharma, Sumit Kumar, 2018. "Testing output gap and economic uncertainty as an explicator of stock market returns," Research in International Business and Finance, Elsevier, vol. 45(C), pages 293-306.
- 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.
- 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.
- 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.
- David Cronin & Peter Dunne, 2019. "Have Sovereign Bond Market Relationships Changed in the Euro Area? Evidence from Italy," Intereconomics: Review of European Economic Policy, Springer;ZBW - Leibniz Information Centre for Economics;Centre for European Policy Studies (CEPS), vol. 54(4), pages 250-258, July.
- Moloney, Kitty & Killeen, Neill & Gilvarry, Oliver, 2014. "A Fragmentation Indicator for Euro Area Sovereign Bond Markets," Economic Letters 11/EL/14, Central Bank of Ireland.
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.- Thomas Conefrey & David Cronin, 2015.
"Spillover in Euro Area Sovereign Bond Markets,"
The Economic and Social Review, Economic and Social Studies, vol. 46(2), pages 197-231.
- Conefrey, Thomas & Cronin, David, 2013. "Spillover in Euro Area Sovereign Bond Markets," Research Technical Papers 05/RT/13, Central Bank of Ireland.
- David Cronin & Peter Dunne & Kieran McQuinn, 2019.
"Have Irish Sovereign Bonds Decoupled from the Euro Area Periphery, and Why?,"
The Economic and Social Review, Economic and Social Studies, vol. 50(3), pages 529-556.
- Cronin, David & Dunne, Peter & McQuinn, Kieran, 2019. "Have Irish sovereign bonds decoupled from the euro area periphery, and why?," Papers WP625, Economic and Social Research Institute (ESRI).
- Claeys, Peter & Vašíček, Bořek, 2014.
"Measuring bilateral spillover and testing contagion on sovereign bond markets in Europe,"
Journal of Banking & Finance, Elsevier, vol. 46(C), pages 151-165.
- Claeys, Peter & Vašíček, Bořek, 2014. "Measuring bilateral spillover and testing contagion on sovereign bond markets in Europe," Working Paper Series 1666, European Central Bank.
- António Afonso & Michael G. Arghyrou & Alexandros Kontonikas, 2012.
"The determinants of sovereign bond yield spreads in the EMU,"
Working Papers Department of Economics
2012/36, ISEG - Lisbon School of Economics and Management, Department of Economics, Universidade de Lisboa.
- Kontonikas, Alexandros & Arghyrou, Michael G. & Afonso, António, 2012. "The determinants of sovereign bond yield spreads in the EMU," SIRE Discussion Papers 2012-88, Scottish Institute for Research in Economics (SIRE).
- António Afonso & Michael G. Arghyrou & Alexandros Kontonikas, 2012. "The determinants of sovereign bond yield spreads in the EMU," Working Papers 2012_14, Business School - Economics, University of Glasgow.
- Afonso, António & Arghyrou, Michael G. & Kontonikas, Alexandros, 2015. "The determinants of sovereign bond yield spreads in the EMU," Working Paper Series 1781, European Central Bank.
- Samir Kadiric, 2020. "The determinants of sovereign risk premiums in the UK and the European government bond market: The impact of Brexit," EIIW Discussion paper disbei271, Universitätsbibliothek Wuppertal, University Library.
- Peter Claeys & Borek Vašícek, 2012.
"“Measuring Sovereign Bond Spillover in Europe and the Impact of Rating News”,"
IREA Working Papers
201219, University of Barcelona, Research Institute of Applied Economics, revised Nov 2012.
- Peter Claeys & Borek Vasicek, 2012. "Measuring Sovereign Bond Spillover in Europe and the Impact of Rating News," Working Papers 2012/07, Czech National Bank.
- Peter Claeys & Borek Vašícek, 2012. "“Measuring Sovereign Bond Spillover in Europe and the Impact of Rating News”," AQR Working Papers 201209, University of Barcelona, Regional Quantitative Analysis Group, revised Nov 2012.
- Samir Kadiric, 2022. "The determinants of sovereign risk premiums in the UK and the European government bond market: the impact of Brexit," International Economics and Economic Policy, Springer, vol. 19(2), pages 267-298, May.
- Chiara Angeloni & Guntram B. Wolff, 2012. "Are banks affected by their holdings of government debt?," Working Papers 717, Bruegel.
- Afonso, António & Arghyrou, Michael G. & Bagdatoglou, George & Kontonikas, Alexandros, 2015.
"On the time-varying relationship between EMU sovereign spreads and their determinants,"
Economic Modelling, Elsevier, vol. 44(C), pages 363-371.
- António Afonso & Michael G. Arghyrou & George Bagdatoglou & Alexandros Kontonikas, 2013. "On the time-varying relationship between EMU sovereign spreads and their determinants," Working Papers 2013_05, Business School - Economics, University of Glasgow.
- Afonso, António & Arghyrou, Michael G. & Bagdatoglou, George & Kontonikas, Alexandros, 2013. "On the time-varying relationship between EMU sovereign spreads and their determinants," SIRE Discussion Papers 2013-47, Scottish Institute for Research in Economics (SIRE).
- António Afonso, & Michael G. Arghyrou, & George Bagdatoglou, & Alexandros Kontonikas, 2013. "On the time-varying relationship between EMU sovereign spreads and their determinants," Working Papers Department of Economics 2013/05, ISEG - Lisbon School of Economics and Management, Department of Economics, Universidade de Lisboa.
- 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).
- 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).
- 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.
- Calice, Giovanni & Mio, RongHui & Štěrba, Filip & Vašíček, Bořek, 2015.
"Short-term determinants of the idiosyncratic sovereign risk premium: A regime-dependent analysis for European credit default swaps,"
Journal of Empirical Finance, Elsevier, vol. 33(C), pages 174-189.
- Giovanni Calice & RongHui Miao & Filip Sterba & Borek Vasicek, 2013. "Short-Term Determinants of the Idiosyncratic Sovereign Risk Premium: A Regime-Dependent Analysis for European Credit Default Swaps," Working Papers 2013/13, Czech National Bank.
- Vašíček, Bořek & Calice, Giovanni & Miao, RongHui & Štěrba, Filip, 2014. "Short-term determinants of the idiosyncratic sovereign risk premium: a regime-dependent analysis for european credit default swaps," Working Paper Series 1717, European Central Bank.
- Markus Brunnermeier & Laurent Clerc & Yanis El Omari & Silvia Gabrieli & Steffen Kern & Christoph Memmel & Tuomas Peltonen & Natalia Podlich & Martin Scheicher & Guillaume Vuillemey, 2013. "Assessing contagion risks from the CDS market," ESRB Occasional Paper Series 04, European Systemic Risk Board.
- Kristin Forbes, 2012. "The "Big C": Identifying Contagion," NBER Working Papers 18465, National Bureau of Economic Research, Inc.
- Georgoutsos, Dimitris & Moratis, George, 2017. "Bank-sovereign contagion in the Eurozone: A panel VAR Approach," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 48(C), pages 146-159.
- Gómez-Puig, Marta & Sosvilla-Rivero, Simón & Ramos-Herrera, María del Carmen, 2014.
"An update on EMU sovereign yield spread drivers in times of crisis: A panel data analysis,"
The North American Journal of Economics and Finance, Elsevier, vol. 30(C), pages 133-153.
- Marta Gómez-Puig & Simón Sosvilla-Rivero & María del Carmen Ramos-Herrera, 2014. "An update on EMU sovereign yield spread drivers in times of crisis: A panel data analysis," Working Papers 14-07, Asociación Española de Economía y Finanzas Internacionales.
- Marta Gómez-Puig & Simón Sosvilla-Rivero & María del Carmen Ramos-Herrera, 2014. "“An Update on EMU Sovereign Yield Spread Drivers in Times of Crisis: A Panel Data Analysis”," IREA Working Papers 201407, University of Barcelona, Research Institute of Applied Economics, revised Mar 2014.
- Marta Gómez-Puig & Simón Sosvilla-Rivero & María del Carmen Ramos-Herrera, 2014. "An update on EMU sovereign yield spread drivers in time of crisis: A panel data analysis," Working Papers 2014-04, Universitat de Barcelona, UB Riskcenter.
- Bahaj, Saleem A., 2014.
"Systemic sovereign risk: macroeconomic implications in the euro area,"
LSE Research Online Documents on Economics
58110, London School of Economics and Political Science, LSE Library.
- Saleem Bahaj, 2014. "Systemic Sovereign Risk: Macroeconomic Implications in the Euro Area," Discussion Papers 1406, Centre for Macroeconomics (CFM).
- Saleem A. Bahaj, 2014. "Systemic Sovereign Risk: Macroeconomic Implications in the Euro Area," Working Papers 191, Oesterreichische Nationalbank (Austrian Central Bank).
- Constancio, V., 2012. "Contagion and the European debt crisis," Financial Stability Review, Banque de France, issue 16, pages 109-121, April.
- Marta Gómez-Puig & Mary Pieterse-Bloem & Simón Sosvilla-Rivero, 2022. ""Dynamic connectedness between credit and liquidity risks in EMU sovereign debt markets"," IREA Working Papers 202217, University of Barcelona, Research Institute of Applied Economics, revised Oct 2022.
- Merler, S. & Pisani-Ferry, J., 2012. "Hazardous tango: sovereign-bank interdependence and financial stability in the euro area," Financial Stability Review, Banque de France, issue 16, pages 201-210, April.
- António Afonso & João Tovar Jalles, 2020.
"Economic volatility and sovereign yields’ determinants: a time-varying approach,"
Empirical Economics, Springer, vol. 58(2), pages 427-451, February.
- António Afonso & João Tovar Jalles, 2016. "Economic Volatility and Sovereign Yields’ Determinants: a Time-Varying Approach," Working Papers Department of Economics 2016/04, ISEG - Lisbon School of Economics and Management, Department of Economics, Universidade de Lisboa.
Corrections
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:spr:intere:v:49:y:2014:i:4:p:212-220. 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: Sonal Shukla or Springer Nature Abstracting and Indexing (email available below). General contact details of provider: http://www.springer.com .
Please note that corrections may take a couple of weeks to filter through the various RePEc services.