Sovereign CDS spread determinants and spill-over effects during financial crisis: A panel VAR approach

Galariotis, Emilios C.; Makrichoriti, Panagiota; Spyrou, Spyros I.

doi:10.1016/j.jfs.2016.08.005

Cited by 66 publications

(25 citation statements)

References 85 publications

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“…Quite similar findings are found by Galariotis et al (2016) who investigate the determinants of SCDS and their volatility spillovers for the Eurozone countries using Panel Vector Autoregressive modeling. They provide evidence of considerable increase of the SCDS spreads variance for some peripheral countries (Spain, Portugal, Italy Greece and Ireland) while the spreads' volatility is decreasing for some leading European economics including Germany and, France.…”

Section: Introductionsupporting

confidence: 81%

Spillovers across European sovereign credit markets and role of surprise and uncertainty

et al. 2019

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We identify the network structure of spillovers and time-varying spillover intensities across European sovereign credit markets proposing a novel Copula-Granger causality based structural vector auto-regressive (SVAR) approach. Via the proposed framework, we examine the topological and timevarying spillover and contagion between thirteen European credit markets, which is found to be consistent with crisis events. The heterogeneity in directional impacts could be useful in revealing contagion effects across the credit markets. We also find that newly proposed surprise and uncertainty indexes by Scotti (2016), among other macro-economic variables, significantly explain the spillover dynamics.

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Section: Introductionsupporting

confidence: 81%

Spillovers across European sovereign credit markets and role of surprise and uncertainty

et al. 2019

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“…What is also evident in Table 3 is that Spain and Italy might consider setting up a separate union on their own. This finding resonates with Galariotis et al (2016) and Leschinski and Bertram (2017) who point out that Italy and Spain are the most important when it comes to exerting influence on other EMU member states. Nevertheless, we do not have any evidence that other periphery countries qualify for another monetary union.…”

Section: A Connectedness Approach To Forming Groupssupporting

confidence: 73%

EMU risk-synchronisation and financial fragility through the prism of dynamic connectedness

Chatziantoniou

Gabauer

2021

The Quarterly Review of Economics and Finance

144

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This study employs dynamic connectedness as a measure of financial risk synchronization considering government bond yields in 11 EMU member states. In particular, large values of the relevant index can be an indication of comparable levels of risk further implying that the common currency area consists of a financially sensible set of countries. By contrast, small connectedness values can be an indication of fragmentation whereupon certain countries are considered to be safer than others. The latter would be detrimental for the EMU as it fuels financial fragility, which practically stipulates that crises occur as a result of self-fulfilling market fears. The results are based on a daily dataset which spans between 1st September 2003 and 31st August 2018. Findings show that fragmentation was present at the height of the European sovereign debt crisis and that the interconnectedness has not yet reverted to its pre-2009 levels. In addition, core countries appear to transmit shocks to periphery countries although, occasionally, there are noteworthy disparities. Further investigating these disparities on a pairwise connectedness level -which helps to identify sensible pairs of countries in terms of financial risk -shows that core countries dominate this exercise, with the exception of the bilateral relation between Italy and Spain. The fact that most periphery countries of our sample are not included in these pairs raises concerns and calls for a more substantial integration.

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“…These measures can affect the stock market value of the companies belonging to the different indexes. Then, the change in the level suffered by each stock index is measured and, with these measurements, regression models are formulated allowing us to define the impact of various factors on the structural change of economies [ 24 , 34 , 35 ].…”

Section: Modeling and Methodologymentioning

confidence: 99%

“…Therefore, neglecting financial contagion and feedback effects of sovereign credit risk on national economic and financial developments lead to spurious results with respect to the determinants of sovereign country default spreads (CDS). Regression models of CDS on variables that capture the fundamental macroeconomic determinants of this spread can be formulated [ 24 ].…”

Section: Introductionmentioning

confidence: 99%

Breakpoint Analysis for the COVID-19 Pandemic and Its Effect on the Stock Markets

Chahuán-Jiménez

Rubilar

Fuente‐Mella

et al. 2021

Entropy

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In this research, statistical models are formulated to study the effect of the health crisis arising from COVID-19 in global markets. Breakpoints in the price series of stock indexes are considered. Such indexes are used as an approximation of the stock markets in different countries, taking into account that they are indicative of these markets because of their composition. The main results obtained in this investigation highlight that countries with better institutional and economic conditions are less affected by the pandemic. In addition, the effect of the health index in the models is associated with their non-significant parameters. This is due to that the health index used in the modeling would not determine the different capacities of the countries analyzed to respond efficiently to the pandemic effect. Therefore, the contagion is the preponderant factor when analyzing the structural breakdown that occurred in the world economy.

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Sovereign CDS spread determinants and spill-over effects during financial crisis: A panel VAR approach

Cited by 66 publications

References 85 publications

Spillovers across European sovereign credit markets and role of surprise and uncertainty

Spillovers across European sovereign credit markets and role of surprise and uncertainty

EMU risk-synchronisation and financial fragility through the prism of dynamic connectedness

Breakpoint Analysis for the COVID-19 Pandemic and Its Effect on the Stock Markets

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