Time varying contagion in EMU government bond spreads
| Autor: | Philip Bertram, Christian Leschinski |
|---|---|
| Rok vydání: | 2017 |
| Předmět: |
050208 finance
Financial economics 05 social sciences Instrumental variable Rolling window Monetary economics 0502 economics and business Government bond Economics Economic and monetary union 050207 economics General Economics Econometrics and Finance Subprime mortgage crisis Finance Debt crisis Credit risk |
| Zdroj: | Journal of Financial Stability. 29:72-91 |
| ISSN: | 1572-3089 |
| DOI: | 10.1016/j.jfs.2017.01.007 |
| Popis: | We analyze the time varying behavior of pure contagion effects between Economic and Monetary Union (EMU) government bond spreads before and during the subprime mortgage crisis and the EMU debt crisis. By conducting a rolling window analysis, we are able to monitor the evolution of pure contagion effects and the changing influence of exogenous factors over time. Importantly, this is done without an ex-ante specification of the contagion window. Hence, we are able to determine the exact timing of the start and end for the different contagion periods. In contrast to related studies, we use a slightly different definition of contagious events and show that this approach leads to different conclusions about the progression of the EMU debt crisis. First, the main sources of pure contagion in the later phase of the EMU debt crisis appear to be Italy and Spain and not Greece, Ireland and Portugal. Furthermore, we find that substantial contagion effects among EMU government bond spreads (caused by Ireland and Portugal) already arise during the subprime mortgage crisis and not only during the EMU debt crisis, as one might expect. |
| Databáze: | OpenAIRE |
| Externí odkaz: |
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