IDEAS home Printed from https://ideas.repec.org/a/taf/recsxx/v22y2019i1p484-503.html
   My bibliography  Save this article

Measuring the effect of monetary shocks on European sovereign country risk: an application of GVAR models

Author

Listed:
  • Asena Temizsoy
  • Gabriel Montes-Rojas

Abstract

This paper investigates the effect of European monetary policies on Eurozone countries’ sovereign risks. We control for interdependencies across individual variables within and across countries using a global VAR specification weighting transmission by their fiscal position. We find evidence of positive correlation between sovereign bond CDS and risk aversion for almost all countries in the Eurozone. The effects are larger after the 2012 Greek debt crisis. When the ECB increases its refinancing rate or there is a decline in money aggregates (i.e., M3), we observe an increase in sovereign bonds’ risk of all countries (except Greece). In contrast, monetary policy tightening shocks have the opposite impact on Greece due to a differentiation effect.

Suggested Citation

  • Asena Temizsoy & Gabriel Montes-Rojas, 2019. "Measuring the effect of monetary shocks on European sovereign country risk: an application of GVAR models," Journal of Applied Economics, Taylor & Francis Journals, vol. 22(1), pages 484-503, January.
    • Handle: RePEc:taf:recsxx:v:22:y:2019:i:1:p:484-503
    DOI: 10.1080/15140326.2019.1665312
    as

    Download full text from publisher

    File URL: http://hdl.handle.net/10.1080/15140326.2019.1665312
    Download Restriction: Access to full text is restricted to subscribers.
    File URL: https://libkey.io/10.1080/15140326.2019.1665312?utm_source=ideas
    LibKey link: if access is restricted and if your library uses this service, LibKey will redirect you to where you can use your library subscription to access this item
    ---><---

    As the access to this document is restricted, you may want to search for a different version of it.

    Citations

    Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
    as


    Cited by:

    1. Piotr Kębłowski, 2021. "GVAR: A Case of Spurious Cross-Sectional Cointegration," Central European Journal of Economic Modelling and Econometrics, Central European Journal of Economic Modelling and Econometrics, vol. 13(2), pages 175-187, June.
    2. Maciej Ryczkowski, 2021. "Money and inflation in inflation-targeting regimes – new evidence from time–frequency analysis," Journal of Applied Economics, Taylor & Francis Journals, vol. 24(1), pages 17-44, January.

    More about this item

    Statistics

    Access and download statistics

    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:taf:recsxx:v:22:y:2019:i:1:p:484-503. 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.

    We have no bibliographic references for this item. You can help adding them by using 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: Chris Longhurst (email available below). General contact details of provider: http://www.tandfonline.com/recs .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.