nep-ifn New Economics Papers
on International Finance
Issue of 2014‒02‒15
one paper chosen by
Vimal Balasubramaniam
University of Oxford

  1. Are there any contagion effects from Greek bonds? By Pragidis, Ioannis; Chionis, Dionisios

  1. 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

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