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Flavin, Thomas, 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 (Unpublished)
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Abstract
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.
| Item Type: | Monograph (Working Paper) |
|---|---|
| Keywords: | Eurozone Sovereign Debt Crisis; Contagion; Markov-switching VAR; Working Paper N267-16; Maynooth University; Department of Economics, Finance and Accounting; |
| Academic Unit: | Faculty of Social Sciences > Economics, Finance and Accounting |
| Item ID: | 7217 |
| Depositing User: | Thomas Flavin |
| Date Deposited: | 08 Aug 2016 14:08 |
| Publisher: | Department of Economics, Finance and Accounting |
| URI: | https://mural.maynoothuniversity.ie/id/eprint/7217 |
| Use Licence: | This item is available under a Creative Commons Attribution Non Commercial Share Alike Licence (CC BY-NC-SA). Details of this licence are available here |
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