Financial Contagion During the European Sovereign Debt Crisis

Dieter Smeets ()
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Dieter Smeets: University of Duesseldorf, Universitaetsstrasse 1, D-40225 Duesseldorf, Germany

Journal of Economic and Financial Studies (JEFS), 2016, vol. 4, issue 2, 46-59

Abstract: From early 2010, the Euro Area has faced a severe sovereign debt crisis. I use multi- and univariate EGARCH-models to assess whether contagious effects are identifiable during this crisis, or whether countries’ problems are instead due to fundamental problems founded in the affected economies themselves. The multivariate analysis reveals a generally decreasing co-movement of government bond returns which increased only temporarily. In contrast, the univariate analysis is directed more to detecting channels of contagion. The analysis of rating announcements concerning Greece as well as crisis news in general, reveals that there are some evidences for mean and volatility contagion.

Keywords: Crisis news; Financial contagion; GARCH models; Sovereign debt crisis. (search for similar items in EconPapers)
JEL-codes: F34 F36 G01 H63 (search for similar items in EconPapers)
Date: 2016
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Citations: View citations in EconPapers (6)

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Persistent link: https://EconPapers.repec.org/RePEc:lrc:lareco:v:4:y:2016:i:2:p:46-59

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