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Contagion in Eurozone Sovereign Bond Markets? The Good, the Bad and the Ugly
Flavin, Thomas; Cronin, David; Sheenan, Lisa
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.
Keyword(s): Eurozone Sovereign Debt Crisis; Contagion; Markov-switching VAR; Working Paper N267-16; Maynooth University; Department of Economics; Finance and Accounting
Publication Date:
2016
Type: Report
Peer-Reviewed: No
Institution: Maynooth University
Citation(s): Flavin, Thomas and Cronin, David and Sheenan, Lisa (2016) Contagion in Eurozone Sovereign Bond Markets? The Good, the Bad and the Ugly. Working Paper. Department of Economics, Finance and Accounting, Maynooth University. (Unpublished)
Publisher(s): Department of Economics, Finance and Accounting
File Format(s): other
Related Link(s): http://eprints.maynoothuniversity.ie/7217/1/N267-16.pdf
First Indexed: 2016-08-10 05:00:49 Last Updated: 2017-04-25 10:08:26