The Financial Connectedness between Eurozone Core and Periphery: A Disaggregated View

Georgios Magkonis and Andreas Tsopanakis

No E2017/15, Cardiff Economics Working Papers from Cardiff University, Cardiff Business School, Economics Section

Abstract: This paper examines the financial stress interconnectedness among GIIPS economies and Germany. Based on market level financial stress indices, it examines the stress transmission process as well as the causal network relationships in banking sector, bond, money and stock markets. The period under investigation, 2001-2013, allows to test the effects of financial crisis of 2008 as well as the subsequent European sovereign crisis. Using two alternative techniques for connectedness analysis, our evidence suggests that the peripheral economies of Italy and Spain play a highly significant role in the stress transmission in all markets, especially in the cases of banks and equity markets. Moreover, we visualize our results using network analysis. Contrary to common wisdom, Portugal, Ireland, and mainly Greece, do not seem to have an important role in amplifying stress levels.

Keywords: Eurozone; stress transmission; connectedness analysis; spillovers; networks (search for similar items in EconPapers)
JEL-codes: C43 F30 G15 (search for similar items in EconPapers)
Pages: 48 pages
Date: 2017-11
New Economics Papers: this item is included in nep-eec
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Citations: View citations in EconPapers (1)

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Related works:
Journal Article: THE FINANCIAL CONNECTEDNESS BETWEEN EUROZONE CORE AND PERIPHERY: A DISAGGREGATED VIEW (2020)
Working Paper: The Financial Connectedness between Eurozone Core and Periphery: A Disaggregated View (2018)
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Persistent link: https://EconPapers.repec.org/RePEc:cdf:wpaper:2017/15

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