Animal spirits vs contagion: Which one is the main driver of sovereign yields in Europe?
Autor(a) principal: | |
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Data de Publicação: | 2016 |
Outros Autores: | , |
Tipo de documento: | Artigo |
Idioma: | eng |
Título da fonte: | Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos) |
Texto Completo: | http://hdl.handle.net/10362/18438 |
Resumo: | The objective of this paper is to assess the differences between contagion and investors’ risk aversion in terms of their impact on European sovereign bond yields during the financial crisis. This paper evaluates contagion at banking level, as it has the advantage of capturing the exposure of sovereign debt markets to financial sector’s risk and also the contagion between sovereign spreads that occurs through the financial sector channel. The paper analyzes the period from 2008 to 2012 and also the Greek, Portuguese and Spanish bailout periods. The results indicate that the main driver of yields in Europe is risk aversion and not contagion. The main differences between Central and Southern European countries’ yields are explained by risk aversion. This channel has a much stronger impact on the periphery. On the other hand, contagion exerts a similar influence throughout all European countries. |
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7160 |
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Animal spirits vs contagion: Which one is the main driver of sovereign yields in Europe?The objective of this paper is to assess the differences between contagion and investors’ risk aversion in terms of their impact on European sovereign bond yields during the financial crisis. This paper evaluates contagion at banking level, as it has the advantage of capturing the exposure of sovereign debt markets to financial sector’s risk and also the contagion between sovereign spreads that occurs through the financial sector channel. The paper analyzes the period from 2008 to 2012 and also the Greek, Portuguese and Spanish bailout periods. The results indicate that the main driver of yields in Europe is risk aversion and not contagion. The main differences between Central and Southern European countries’ yields are explained by risk aversion. This channel has a much stronger impact on the periphery. On the other hand, contagion exerts a similar influence throughout all European countries.Nova SBERUNHomem Ferreira, MiguelCatela Nunes, LuisTavares, José2016-07-11T12:49:23Z2016-07-072016-07-07T00:00:00Zinfo:eu-repo/semantics/publishedVersioninfo:eu-repo/semantics/articleapplication/pdfhttp://hdl.handle.net/10362/18438enginfo:eu-repo/semantics/openAccessreponame:Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos)instname:Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informaçãoinstacron:RCAAP2024-03-11T03:57:32Zoai:run.unl.pt:10362/18438Portal AgregadorONGhttps://www.rcaap.pt/oai/openaireopendoar:71602024-03-20T03:24:44.608318Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos) - Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informaçãofalse |
dc.title.none.fl_str_mv |
Animal spirits vs contagion: Which one is the main driver of sovereign yields in Europe? |
title |
Animal spirits vs contagion: Which one is the main driver of sovereign yields in Europe? |
spellingShingle |
Animal spirits vs contagion: Which one is the main driver of sovereign yields in Europe? Homem Ferreira, Miguel |
title_short |
Animal spirits vs contagion: Which one is the main driver of sovereign yields in Europe? |
title_full |
Animal spirits vs contagion: Which one is the main driver of sovereign yields in Europe? |
title_fullStr |
Animal spirits vs contagion: Which one is the main driver of sovereign yields in Europe? |
title_full_unstemmed |
Animal spirits vs contagion: Which one is the main driver of sovereign yields in Europe? |
title_sort |
Animal spirits vs contagion: Which one is the main driver of sovereign yields in Europe? |
author |
Homem Ferreira, Miguel |
author_facet |
Homem Ferreira, Miguel Catela Nunes, Luis Tavares, José |
author_role |
author |
author2 |
Catela Nunes, Luis Tavares, José |
author2_role |
author author |
dc.contributor.none.fl_str_mv |
RUN |
dc.contributor.author.fl_str_mv |
Homem Ferreira, Miguel Catela Nunes, Luis Tavares, José |
description |
The objective of this paper is to assess the differences between contagion and investors’ risk aversion in terms of their impact on European sovereign bond yields during the financial crisis. This paper evaluates contagion at banking level, as it has the advantage of capturing the exposure of sovereign debt markets to financial sector’s risk and also the contagion between sovereign spreads that occurs through the financial sector channel. The paper analyzes the period from 2008 to 2012 and also the Greek, Portuguese and Spanish bailout periods. The results indicate that the main driver of yields in Europe is risk aversion and not contagion. The main differences between Central and Southern European countries’ yields are explained by risk aversion. This channel has a much stronger impact on the periphery. On the other hand, contagion exerts a similar influence throughout all European countries. |
publishDate |
2016 |
dc.date.none.fl_str_mv |
2016-07-11T12:49:23Z 2016-07-07 2016-07-07T00:00:00Z |
dc.type.status.fl_str_mv |
info:eu-repo/semantics/publishedVersion |
dc.type.driver.fl_str_mv |
info:eu-repo/semantics/article |
format |
article |
status_str |
publishedVersion |
dc.identifier.uri.fl_str_mv |
http://hdl.handle.net/10362/18438 |
url |
http://hdl.handle.net/10362/18438 |
dc.language.iso.fl_str_mv |
eng |
language |
eng |
dc.rights.driver.fl_str_mv |
info:eu-repo/semantics/openAccess |
eu_rights_str_mv |
openAccess |
dc.format.none.fl_str_mv |
application/pdf |
dc.publisher.none.fl_str_mv |
Nova SBE |
publisher.none.fl_str_mv |
Nova SBE |
dc.source.none.fl_str_mv |
reponame:Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos) instname:Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informação instacron:RCAAP |
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Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informação |
instacron_str |
RCAAP |
institution |
RCAAP |
reponame_str |
Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos) |
collection |
Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos) |
repository.name.fl_str_mv |
Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos) - Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informação |
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