Quotation Antonakakis, Nikolaos, Vergos, Konstantinos. 2013. Sovereign Bond Yield Spillovers in the Euro Zone During the Financial and Debt Crisis. Journal of International Financial Markets, Institutions and Money 26 258-272.


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Abstract

In this paper we examine sovereign bond yield spread (BYS) spillovers between Euro zone countries during a turbulent period encompassing both the global financial crisis and the Euro zone debt crisis. Using the VAR-based spillover index approach of Diebold and Yilmaz (2012) and impulse response analyses, we find that: (i) on average, BYS shocks tend to increase future BYS, and are related to news announcements and policy changes; (ii) BYS spillovers between Euro zone countries are highly intertwined, however, BYS shocks from the periphery have, on average, three times the destabilizing force on other countries than shocks coming from the core. (iii) The within-effect of BYS spillovers is of greater magnitude within the periphery than that within the core; (iv) The between-effect (core vs periphery) of BYS spillovers suggests directional spillovers of greater magnitude from the periphery to the Euro zone core than vice versa. (v) Finally, joint shocks in the periphery and the core reveal decoupling effects between these two groups of countries. Overall, our findings highlight the increased vulnerability of the Euro zone from the destabilizing shocks originating mostly from the Euro zone countries in the periphery and to a lesser extent from the Euro zone core.

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Publication's profile

Status of publication Published
Affiliation WU
Type of publication Journal article
Journal Journal of International Financial Markets, Institutions and Money
Citation Index SSCI
WU-Journal-Rating new WH-B
Language English
Title Sovereign Bond Yield Spillovers in the Euro Zone During the Financial and Debt Crisis
Volume 26
Year 2013
Page from 258
Page to 272
Reviewed? Y
URL http://www.sciencedirect.com/science/article/pii/S1042443113000413

Associations

People
Antonakakis, Nikolaos (Former researcher)
External
Vergos, Konstantinos (University of Portsmouth, United Kingdom)
Organization
Institute for International Economics IN (Details)
Department of Economics DP (Details)
Research areas (Ă–STAT Classification 'Statistik Austria')
5300 Economics (Details)
5361 Financial management (Details)
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