Cross-country spillovers of national financial markets and the effectiveness of ECB policies during the euro-area crisis
Heather Gibson,
Stephen Hall,
Deborah Gefang,
Pavlos Petroulas and
George Tavlas
Oxford Economic Papers, 2021, vol. 73, issue 4, 1454-1470
Abstract:
We investigate spillover effects between sovereign ratings and sovereign spreads for five euro-area countries—Greece, Ireland, Italy, Portugal, and Spain—using monthly data over the period of January 2000 through June 2019. We extend previous work in two ways. First, using spatial estimation, we model and quantify the spillover effects on ratings and spreads among countries. Secondly, we assess the effectiveness of European Central Bank (ECB) policies on spreads and ratings. We find significant feedback effects among countries. Consistent with the view that forward-looking agents typically respond to credible announcements right away, our results suggest that then-ECB President Draghi’s July 2012 speech was pivotal, and was supported by the ECB’s January 2015 announcement that it would undertake asset purchases.
JEL-codes: E3 G01 G14 G21 (search for similar items in EconPapers)
Date: 2021
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (2)
Downloads: (external link)
http://hdl.handle.net/10.1093/oep/gpab046 (application/pdf)
Access to full text is restricted to subscribers.
Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.
Export reference: BibTeX
RIS (EndNote, ProCite, RefMan)
HTML/Text
Persistent link: https://EconPapers.repec.org/RePEc:oup:oxecpp:v:73:y:2021:i:4:p:1454-1470.
Ordering information: This journal article can be ordered from
https://academic.oup.com/journals
Access Statistics for this article
Oxford Economic Papers is currently edited by James Forder and Francis J. Teal
More articles in Oxford Economic Papers from Oxford University Press Oxford University Press, Great Clarendon Street, Oxford OX2 6DP, UK.
Bibliographic data for series maintained by Oxford University Press ().