The Contagion of the Subprime Crisis to the U.S. Treasury Bond Markets

La contagion de la crise des Subprimes aux marchés des bons du trésor américain

Meriam Chihi-Bouaziz (), Younes Boujelbene and Damien Bazin
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Meriam Chihi-Bouaziz: GREDEG - Groupe de Recherche en Droit, Economie et Gestion - UNS - Université Nice Sophia Antipolis (1965 - 2019) - CNRS - Centre National de la Recherche Scientifique - UniCA - Université Côte d'Azur
Younes Boujelbene: UREA - FSEG Sfax

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Abstract: The American Treasury bond markets have suffered catastrophic losses due to the subprime crisis, which erupted in 2007. We study in this paper the contagion of this crisis by examining the increase links between these markets and the U.S. subprime loan market. We use a VAR model considered most suitable for this purpose. Our study is based on the prices of subprime Asset-backed collateralized debt obligations (CDOs) and changes in U.S. Treasury bond yields. Our results support the hypothesis of contagion from the subprime crisis between the U.S. financial markets.

Keywords: subprime CDOs; contagion; VAR model; Treasury bond Markets (search for similar items in EconPapers)
Date: 2013
Note: View the original document on HAL open archive server: https://shs.hal.science/halshs-01081527
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Published in Empirical Economic Letters, 2013, pp.5

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Persistent link: https://EconPapers.repec.org/RePEc:hal:journl:halshs-01081527

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