EconPapers    
Economics at your fingertips  
 

Contagion in Eurozone Sovereign Bond Markets? The Good, the Bad and the Ugly

Thomas Flavin (), David Cronin and Lisa Sheenan

Economics, Finance and Accounting Department Working Paper Series from Department of Economics, Finance and Accounting, National University of Ireland - Maynooth

Abstract: We analyse the stability of linkages across Eurozone bond markets during the sovereign debt crisis. We distinguish between contagion and interdependencies as mechanisms for spreading the turmoil across bond markets. Using a three-regime Markov switching VAR, we identify two distinct phases of the crisis - the bad and the ugly - and find differences in shock transmission between them. Overall, evidence of contagion is scant and interdependence is the more common determinant of market comovements.

Keywords: Eurozone Sovereign Debt Crisis; Contagion; Markov-switching VAR. (search for similar items in EconPapers)
JEL-codes: G01 G15 (search for similar items in EconPapers)
New Economics Papers: this item is included in nep-eec
Date: 2016
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (5) Track citations by RSS feed

Downloads: (external link)
http://repec.maynoothuniversity.ie/mayecw-files/N267-16.pdf (application/pdf)

Related works:
Journal Article: Contagion in Eurozone sovereign bond markets? The good, the bad and the ugly (2016) Downloads
Working Paper: Contagion in Eurozone Sovereign Bond Markets? The Good, the Bad and the Ugly (2016) Downloads
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:may:mayecw:n267-16.pdf

Access Statistics for this paper

More papers in Economics, Finance and Accounting Department Working Paper Series from Department of Economics, Finance and Accounting, National University of Ireland - Maynooth Contact information at EDIRC.
Bibliographic data for series maintained by ().

 
Page updated 2019-04-14
Handle: RePEc:may:mayecw:n267-16.pdf