Time-varying contemporaneous spillovers during the European Debt Crisis

Marinela Adriana Finta (), Bart Frijns and Alireza Tourani-Rad
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Marinela Adriana Finta: Singapore Management University, Administration Building

Empirical Economics, 2019, vol. 57, issue 2, No 3, 423-448

Abstract: Abstract This paper considers contemporaneous spillover effects between Germany and four peripheral European countries that were most affected by the European Debt Crisis, and provides evidence of bidirectional spillovers among these equity markets. We document that there is asymmetry and time variation in contemporaneous spillovers. Particularly, contemporaneous return spillovers from Germany to the peripheral equity markets is higher than the other way around. We show that European Debt Crisis led to a decrease in the contemporaneous spillover effects.

Keywords: Contemporaneous spillovers; Financial crises; Euro Area (search for similar items in EconPapers)
JEL-codes: C32 C58 G01 G1 (search for similar items in EconPapers)
Date: 2019
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Citations: View citations in EconPapers (1)

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DOI: 10.1007/s00181-018-1480-1

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