Has the Grexit news spilled over into euro area financial markets? The role of domestic political leaders, supranational executives and institutions

Wildmer Daniel Gregori () and Agnese Sacchi
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Wildmer Daniel Gregori: Prometeia Associazione (Italy)

No 134, Mo.Fi.R. Working Papers from Money and Finance Research group (Mo.Fi.R.) - Univ. Politecnica Marche - Dept. Economic and Social Sciences

Abstract: This paper investigates whether speculation about Greece.s exit from the euro has spilled over into other euro area countries. sovereign bond yields. Our empirical analysis is based on more than 64,000 news items on Grexit between December 2014 and October 2015, collected daily via the Factiva database. We can take account of Grexit news generally and, also, distinguish news items according to individual country press, domestic political leaders, supranational executives and institutions. Our results suggest that more news about Grexit drives up bond yields in European peripheral countries, but that there are no effects on European core countries. Thus, speculations about Grexit seem to be confined to more vulnerable economies. In addition, financial markets in peripheral countries react more to Grexit news associated to supranational executives and related institutions compared to news related to domestic politicians and European political bodies, due possibly to higher perceived credibility of the former with respect to the latter.

Keywords: Grexit; Financial markets; Government bond; News; Spillovers; Euro area; GARCH. (search for similar items in EconPapers)
JEL-codes: E43 E62 G12 G14 (search for similar items in EconPapers)
Pages: 35
Date: 2016-12
New Economics Papers: this item is included in nep-eec, nep-mac and nep-pol
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http://docs.dises.univpm.it/web/quaderni/pdfmofir/Mofir134.pdf First version, 2016 (application/pdf)

Related works:
Working Paper: Has the Grexit news affected euro area financial markets? (2017)
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Persistent link: https://EconPapers.repec.org/RePEc:anc:wmofir:134

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