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Spillovers Among Sovereign Debt Markets: Identification by Absolute Magnitude Restrictions
| Content Provider | Scilit |
|---|---|
| Author | Santis, Roberto A. De Zimic, Srecko |
| Copyright Year | 2017 |
| Description | Journal: SSRN Electronic Journal This paper studies spillovers among US and European sovereign yields. We provide a new method based on absolute magnitude restrictions of the impact matrix to identify the countries that were the main sources of spillovers. Despite the large size of shocks from euro area stressed countries, connectedness among sovereign yields declined between 2008 and 2012 due to financial fragmentation, particularly between countries with more divergent business and fiscal cycles. We show that none of the sovereign yields are insulated from foreign shocks and that shocks to the Greek bond market in 2010 explained 20-30% of the variance of sovereign yields in stressed countries, while in 2011-2012 Italy (not Spain) was the source of systemic risk. |
| Related Links | https://www.econstor.eu/bitstream/10419/175679/1/ecb-wp2055.en.pdf https://papers.ssrn.com/sol3/Delivery.cfm?abstractid=2968934 |
| ISSN | 10914358 |
| e-ISSN | 15565068 |
| DOI | 10.2139/ssrn.2968934 |
| Journal | SSRN Electronic Journal |
| Language | English |
| Publisher | Elsevier BV |
| Publisher Date | 2017-05-05 |
| Access Restriction | Open |
| Subject Keyword | Journal: SSRN Electronic Journal Sovereign Yields Absolute Magnitude Stressed Countries Magnitude Restrictions |
| Content Type | Text |
| Resource Type | Article |
| Subject | Public Health, Environmental and Occupational Health Psychiatry and Mental Health |
