2013
DOI: 10.1016/j.jbankfin.2013.05.002
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Abstract: Our research aims to analyze the possible existence of Granger-causal relationships in the behavior of public debt issued by peripheral member countries of the European Economic and Monetary Union (EMU), with special emphasis on the recent episodes of crisis triggered in the eurozone sovereign debt markets since 2009. With this goal in mind, we make use of a database of daily frequency of yields on 10-year government bonds issued by five EMU countries (Greece, Ireland, Italy, Portugal and Spain), covering the … Show more

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Cited by 43 publications
(22 citation statements)
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“…With respect to market sentiment proxies, we use the consumer confidence indicator (CCI) to gauge economic agents' perceptions of future economic activity, and the 10 Given the large size differences observed between EMU peripheral sovereign debt markets (see Gómez-Puig and Sosvilla-Rivero, 2013), it is likely that the overall outstanding volume of sovereign debt (which is considered a measure of market depth because larger markets may present lower information costs since their securities are likely to trade frequently, and a relative large number of investors may own or may have analyzed their features) might be a good proxy of liquidity differences between markets. Indeed, some of the literature suggests that market size is an important factor in the success of a debt market.…”
Section: Instruments For Modelling Net Directional Connectednessmentioning
confidence: 99%
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“…With respect to market sentiment proxies, we use the consumer confidence indicator (CCI) to gauge economic agents' perceptions of future economic activity, and the 10 Given the large size differences observed between EMU peripheral sovereign debt markets (see Gómez-Puig and Sosvilla-Rivero, 2013), it is likely that the overall outstanding volume of sovereign debt (which is considered a measure of market depth because larger markets may present lower information costs since their securities are likely to trade frequently, and a relative large number of investors may own or may have analyzed their features) might be a good proxy of liquidity differences between markets. Indeed, some of the literature suggests that market size is an important factor in the success of a debt market.…”
Section: Instruments For Modelling Net Directional Connectednessmentioning
confidence: 99%
“…In this context, an important reason and justification for providing financial support to Greece in May 2010 was precisely the "fear" of contagion (see, for instance, Constâncio, 2012), not only because there was a sudden loss of confidence among investors, who turned their attention to the macroeconomic and fiscal imbalances within EMU countries which had largely been ignored until then (see Beirne and Fratzscher, 2013), but also because several European Union banks had a particularly high exposure to Greece (see Gómez-Puig and Sosvilla-Rivero, 2013). …”
Section: Introductionmentioning
confidence: 99%
“…suggests that the problems of peripheral countries can spill over not only to other peripheral countries but also to EMU central countries since some of these banks (mostly German and French banks) are highly exposed to the debt of peripheral countries (see Gómez-Puig and Sosvilla-Rivero, 2013). Moreover, several studies show that sovereign bond yields are not only driven by country-specific risk factors but that they are also 21 significantly affected by global risk factors [see Groba et.…”
Section: Contagion Assessmentmentioning
confidence: 99%
“…Indeed, since 2010, Greece has been bailed out twice and Ireland, Portugal and Cyprus have also needed bailouts to stay afloat. These events brought to light the fact that the origin of sovereign debt crises in the euro area varies according to the country and reflects the strong interconnection between public and private debt (see Gómez-Puig and Sosvilla-Rivero, 2013) 1 .…”
Section: Introductionmentioning
confidence: 99%
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