| By: |
Pragidis, Ioannis (Democritus University of Thrace, Department of Economics);
Chionis, Dionisios (Democritus University of Thrace, Department of Economics) |
| Abstract: |
Since the onset of the global financial crisis, the sovereign risk premium
differential and associated government bond yields have been widening so much
as to cause the Eurozone crisis. The stylized facts of the 10-year Greek
government bond yield attract much interest since there are deepened fears of
this spreading to the government bonds of other European countries. Moreover,
the impact of the Greek bond market on other European countries during the
crisis period has not been examined adequately in the international
literature. By employing a set of wellestablished econometric methods, in
which we take into account the presence of heteroskedasticity, we do not find
any evidence for the existence of contagious effects stemming from the Greek
10-year government bonds to the government bond markets of other European
countries. |
| Keywords: |
Greek crisis; sovereign bonds; contagion; EGARCH; dynamic correlation |
| JEL: |
G01 |
| Date: |
2014–01–30 |
| URL: |
http://d.repec.org/n?u=RePEc:ris:duthrp:2014_006&r=ifn |