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Author : Charles Mathias
Publisher :
ISBN 13 :
Total Pages : pages
Book Rating : 4.:/5 (93 download)
Download or read book Measuring Contagion in the European Sovereign Bond Market written by Charles Mathias and published by . This book was released on 2012 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Peter Claeys
Publisher :
ISBN 13 :
Total Pages : pages
Book Rating : 4.:/5 (891 download)
Download or read book Measuring Bilateral Spillover and Testing Contagion on Sovereign Bond Markets in Europe written by Peter Claeys and published by . This book was released on 2014 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Peter Claeys
Publisher :
ISBN 13 :
Total Pages : 45 pages
Book Rating : 4.:/5 (13 download)
Download or read book Measuring Bilateral Spillover and Testing Contagion on Sovereign Bond Markets in Europe written by Peter Claeys and published by . This book was released on 2016 with total page 45 pages. Available in PDF, EPUB and Kindle. Book excerpt: The global financial crisis rapidly spread across borders and financial markets, and also distressed EU bond markets. The crisis did not hit all markets in the same way. We measure the strength and direction of linkages between 16 EU sovereign bond markets using a factor-augmented version of the VAR model in Diebold and Yilmaz (2009). We then provide a novel test for contagion by applying the multivariate structural break test of Qu and Perron (2007) on this FAVAR detecting significant sudden changes in shock transmission. Results indicate substantial spillover, especially between EMU countries, with Belgium, Italy and Spain being key markets during the financial crisis. Contagion has been a rather rare phenomenon limited to a few well defined moments of uncertainty on financial assistance packages for Greece, Ireland and Portugal. Most of the frequent surges in market co-movement are driven by larger shocks rather than by contagion.
Author :
Publisher :
ISBN 13 : 9789289910743
Total Pages : 43 pages
Book Rating : 4.9/5 (17 download)
Download or read book Measuring Bilateral Spillover and Testing Contagion on Sovereign Bond Markets in Europe written by and published by . This book was released on 2014 with total page 43 pages. Available in PDF, EPUB and Kindle. Book excerpt: The global financial crisis rapidly spread across borders and financial markets, and also distressed EU bond markets. The crisis did not hit all markets in the same way. We measure the strength and direction of linkages between 16 EU sovereign bond markets using a factor-augmented version of the VAR model in Diebold and Yilmaz (2009). We then provide a novel test for contagion by applying the multivariate structural break test of Qu and Perron (2007) on this FAVAR detecting significant sudden changes in shock transmission. Results indicate substantial spillover, especially between EMU countries. Differences in bilateral linkages are due to a combination of fiscal trouble and a large banking sector, as Belgium, Italy and Spain are central to shock transmission during the financial crisis. Contagion has been a rather rare phenomenon limited to a few well defined moments of uncertainty on financial assistance packages for Greece, Ireland and Portugal. Most of the frequent surges in market co-movement are driven by larger shocks rather than by contagion.
Author : Dirk G. Baur
Publisher :
ISBN 13 :
Total Pages : 34 pages
Book Rating : 4.:/5 (13 download)
Download or read book Market Integration and Contagion - The Curious Case of the Eurozone Debt Crisis written by Dirk G. Baur and published by . This book was released on 2016 with total page 34 pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper analyzes financial contagion in European sovereign bond markets. It highlights the relationship between market integration and contagion and demonstrates that the disintegration of the Eurozone sovereign debt markets was a necessary condition for contagion. An analysis of extreme systemic shocks shows that contagion in the Eurozone debt crisis was not as frequent as often reported as it identifies only one major incidence of contagion that affected five periphery Eurozone countries in May 2010 coinciding with flight to quality from the periphery to the core and the 2010 “flash crash” in US equity markets. The findings demonstrate that extreme systemic shocks provide important additional information to correlation-based tests and show that there was no contagion to the core as feared by policymakers but the exact opposite of contagion - flight to quality.
Author : Kristyna Ters
Publisher :
ISBN 13 :
Total Pages : 38 pages
Book Rating : 4.:/5 (13 download)
Download or read book The Transmission of Euro Area Sovereign Risk Contagion written by Kristyna Ters and published by . This book was released on 2016 with total page 38 pages. Available in PDF, EPUB and Kindle. Book excerpt: We examine the role of the CDS and bond markets during and before the recent euro area sovereign debt crisis as transmission channels for credit risk contagion between sovereign entities. We analyse an intraday dataset for GIIPS countries as well as for France and Germany. Our findings suggest that, prior to the crisis, the CDS and bond markets were similarly important in the transmission of sovereign risk contagion, but that the importance of the bond market waned during the crisis. We find flight-to-safety effects during the crisis period in the German bond market. By using an exogenous macroeconomic news shock, we can show that, during the crisis period, sovereign credit risk was not related to economic fundamentals but rather driven by the announcements of the economic adjustment programmes (EAP) as the magnitude of risk contagion spreading from the country under the EAP did strongly decrease following these announcements. Only after the enlargement of the European Financial Stability Facility in July 2011, we find a strong decrease of interlinkages and a stabilising effect on the joint credit risk contagion across all GIIPS countries.
Author : Massimiliano Caporin
Publisher :
ISBN 13 :
Total Pages : 58 pages
Book Rating : 4.:/5 (129 download)
Download or read book Measuring Sovereign Contagion in Europe written by Massimiliano Caporin and published by . This book was released on 2020 with total page 58 pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper analyzes the sovereign risk contagion using credit default swaps (CDS) and bond premiums for the major eurozone countries. By emphasizing several econometric approaches (nonlinear regression, quantile regression and Bayesian quantile regression with heteroskedasticity) we show that propagation of shocks in Europe's CDS has been remarkably constant for the period 2008-2011 even though a significant part of the sample periphery countries have been extremely affected by their sovereign debt and fiscal situations. Thus, the integration among the different eurozone countries is stable, and the risk spillover among these countries is not affected by the size of the shock, implying that so far contagion has remained subdue. Results for the CDS sample are confirmed by examining bond spreads. However, the analysis of bond data shows that there is a change in the intensity of the propagation of shocks in the 2003-2006 pre-crisis period and the 2008-2011 post-Lehman one, but the coefficients actually go down, not up! All the increases in correlation we have witnessed over the last years come from larger shocks and the heteroskedasticity in the data, not from similar shocks propagated with higher intensity across Europe. This is the first paper, to our knowledge, where a Bayesian quantile regression approach is used to measure contagion. This methodology is particularly well-suited to deal with nonlinear and unstable transmission mechanisms.
Author : Mr.Giovanni Dell'Ariccia
Publisher : International Monetary Fund
ISBN 13 : 1484359623
Total Pages : 54 pages
Book Rating : 4.4/5 (843 download)
Download or read book Managing the Sovereign-Bank Nexus written by Mr.Giovanni Dell'Ariccia and published by International Monetary Fund. This book was released on 2018-09-07 with total page 54 pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper reviews empirical and theoretical work on the links between banks and their governments (the bank-sovereign nexus). How significant is this nexus? What do we know about it? To what extent is it a source of concern? What is the role of policy intervention? The paper concludes with a review of recent policy proposals.
Author : Sergio Capaldi
Publisher :
ISBN 13 :
Total Pages : 56 pages
Book Rating : 4.:/5 (13 download)
Download or read book Explaining Sovereign Spreads in the Euro Area written by Sergio Capaldi and published by . This book was released on 2014 with total page 56 pages. Available in PDF, EPUB and Kindle. Book excerpt: Several recent contributions on the euro crisis have highlighted the presence of discontinuity points in the link between sovereign spreads and economic fundamentals. The most puzzling evidence is the relatively stable environment that has characterized the sovereign bond market despite growing macroeconomic imbalances in the euro area. The abrupt surge in yields has been interpreted as an expression of various form of “contagion” that led the financial market to reassess the risk profile of sovereign bonds. On the ground of the theory of sovereign crisis we propose an empirical model that explains the outbreak of the crisis and brings new evidence on the role played by debt sustainability in the contagion to other peripheral bond markets. The empirical evidence broadly confirms the role played by various form of contagion but hands back the responsibility of the euro crisis mainly in the hands of the policy makers both at domestic and at the European level. Fiscal sustainability presides over the switching between regimes characterized by different sensitivities of the financial markets to economic news. The deterioration of the fiscal outlook caused by fiscal profligacy and the recapitalization of ailing banks together with the lack of growth-enhancing structural reforms and the wrongly timed ECB's rate hikes in 2011 seem to be the ultimate causes of the near collapse of the Euro area.
Author : Luboš Komárek
Publisher :
ISBN 13 :
Total Pages : pages
Book Rating : 4.:/5 (953 download)
Download or read book Intraday Dynamics of Euro Area Sovereign Credit Risk Contagion written by Luboš Komárek and published by . This book was released on 2016 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Stijn Claessens
Publisher : Springer Science & Business Media
ISBN 13 : 1475733143
Total Pages : 461 pages
Book Rating : 4.4/5 (757 download)
Download or read book International Financial Contagion written by Stijn Claessens and published by Springer Science & Business Media. This book was released on 2013-04-17 with total page 461 pages. Available in PDF, EPUB and Kindle. Book excerpt: No sooner had the Asian crisis broken out in 1997 than the witch-hunt started. With great indignation every Asian economy pointed fingers. They were innocent bystanders. The fundamental reason for the crisis was this or that - most prominently contagion - but also the decline in exports of the new commodities (high-tech goods), the steep rise of the dollar, speculators, etc. The prominent question, of course, is whether contagion could really have been the key factor and, if so, what are the channels and mechanisms through which it operated in such a powerful manner. The question is obvious because until 1997, Asia's economies were generally believed to be immensely successful, stable and well managed. This question is of great importance not only in understanding just what happened, but also in shaping policies. In a world of pure contagion, i.e. when innocent bystanders are caught up and trampled by events not of their making and when consequences go far beyond ordinary international shocks, countries will need to look for better protective policies in the future. In such a world, the international financial system will need to change in order to offer better preventive and reactive policy measures to help avoid, or at least contain, financial crises.
Author : David Cronin
Publisher :
ISBN 13 :
Total Pages : pages
Book Rating : 4.:/5 (958 download)
Download or read book Contagion in Eurozone Sovereign Bond Markets? written by David Cronin and published by . This book was released on 2016 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Mrs.Jana Bricco
Publisher : International Monetary Fund
ISBN 13 : 1513517856
Total Pages : 49 pages
Book Rating : 4.5/5 (135 download)
Download or read book Interconnectedness and Contagion Analysis: A Practical Framework written by Mrs.Jana Bricco and published by International Monetary Fund. This book was released on 2019-10-11 with total page 49 pages. Available in PDF, EPUB and Kindle. Book excerpt: The analysis of interconnectedness and contagion is an important part of the financial stability and risk assessment of a country’s financial system. This paper offers detailed and practical guidance on how to conduct a comprehensive analysis of interconnectedness and contagion for a country’s financial system under various circumstances. We survey current approaches at the IMF for analyzing interconnectedness within the interbank, cross-sector and cross-border dimensions through an overview and examples of the data and methodologies used in the Financial Sector Assessment Program. Finally, this paper offers practical advice on how to interpret results and discusses potential financial stability policy recommendations that can be drawn from this type of in-depth analysis.
Author : Marta Gómez-Puig
Publisher :
ISBN 13 :
Total Pages : 31 pages
Book Rating : 4.:/5 (13 download)
Download or read book EMU Sovereign Debt Market Crisis written by Marta Gómez-Puig and published by . This book was released on 2014 with total page 31 pages. Available in PDF, EPUB and Kindle. Book excerpt: We empirically investigate whether the transmission of the recent crisis in euro area sovereign debt markets was due to fundamentals-based or pure contagion. To do so, we examine the behaviour of EMU sovereign bond yield spreads with respect to the German bund for a sample of both central and peripheral countries from January 1999 to December 2012. First we apply a dynamic approach to analyse the evolution of the degree of Granger-causality within the 90 pairs of sovereign bond yield spreads in our sample, in order to detect episodes of significantly increased causality between them (which we associate with contagion) and episodes of significantly reduced interconnection (which we associate with immunisation). We then use an ordered logit model to assess the determinants of the occurrence of the episodes detected. Our results suggest the importance of variables proxying market sentiment and of variables proxying macrofundamentals in determining contagion and immunisation outcomes. Therefore, our findings underline the coexistence of “pure” and “fundamentals-based contagion” during the recent European debt crisis.
Author : Theodore D. Bratis
Publisher :
ISBN 13 :
Total Pages : pages
Book Rating : 4.:/5 (13 download)
Download or read book Systemic Risk and Financial Market Contagion written by Theodore D. Bratis and published by . This book was released on 2015 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: The global financial and the European debt crises categorized as Minsky's moments present the physical laboratory for studying contagion cross country and cross market. Our research based on the twin sovereign-banking crisis evolution of the euro debt crisis era, focuses on addressing the co-movement of credit risk measured by Credit Default Swap (CDS) spreads in both banking and sovereign sectors within EMU in conjunction with the UK/US. We evaluate and compare contagion/interdependence cross-country and cross-market. Our results err on the side of interdependence within EMU as expected; contagion has been found for limited cases.
Author : Conall O'Sullivan
Publisher :
ISBN 13 :
Total Pages : 50 pages
Book Rating : 4.:/5 (13 download)
Download or read book Measuring and Analyzing Liquidity and Volatility Dynamics in the Euro-Area Government Bond Market written by Conall O'Sullivan and published by . This book was released on 2017 with total page 50 pages. Available in PDF, EPUB and Kindle. Book excerpt: This chapter examines the impact the European sovereign debt market crisis had on liquidity and volatility dynamics and their interdependencies in the eurozone government bond market. In particular, we examine the impact across different countries and across different maturity buckets within individual countries. A comprehensive high-frequency dataset from MTS, Europe's premier electronic fixed-income trading market, is employed to construct a variety of microstructure liquidity and volatility measures. We analyze important trends in these measures over both tranquil and crisis periods. Additionally, we study time-varying correlations as well as the intertemporal interactions of liquidity proxies with volatility and returns. Our findings provide useful insights to regulators and policy makers on the relative strengths and weaknesses of domestic and global financial systems.
Author : Antonio Díez de los Ríos
Publisher :
ISBN 13 :
Total Pages : 33 pages
Book Rating : 4.:/5 (912 download)
Download or read book Contagion and Portfolio Shift in Emerging Countries' Sovereign Bonds written by Antonio Díez de los Ríos and published by . This book was released on 2000 with total page 33 pages. Available in PDF, EPUB and Kindle. Book excerpt:
