A time-frequency analysis of sovereign debt contagion in europe
Autor(a) principal: | |
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Data de Publicação: | 2019 |
Outros Autores: | , |
Tipo de documento: | Artigo |
Idioma: | eng |
Título da fonte: | Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos) |
Texto Completo: | https://hdl.handle.net/1822/61682 |
Resumo: | This paper adopted a wavelet approach to investigate the financial contagion in the Eurozone debt market during various crisis-ridden periods in the zone. We used weekly 10-year bond yield data and showed that until the onset of the financial crisis of 2007/2008, bond yields were highly synchronised among all countries. However, the bond yields in Greece, Ireland, Italy, Spain, and Portugal became unsynchronised with core countries after 2008. Similarly, there was no synchronisation among the periphery countries during this period, except for Italy and Spain. We found evidence of contagion emanating from Ireland during the first part of the sovereign debt crisis until around 2010, and from Greece afterwards. We also established that contagion spread to Portugal, Greece and Ireland, and can be observed at high frequencies. However, Italy and Spain were not affected. At business cycle frequencies, we found that the Greek crisis propelled a flight-to-quality flow to Belgium, Finland, France and Germany. |
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A time-frequency analysis of sovereign debt contagion in europeContagionEuropean Sovereign DebtCross-market Co-movementsWavelet Partial CoherencyPartial Phase-DifferenceWavelet DistanceThis paper adopted a wavelet approach to investigate the financial contagion in the Eurozone debt market during various crisis-ridden periods in the zone. We used weekly 10-year bond yield data and showed that until the onset of the financial crisis of 2007/2008, bond yields were highly synchronised among all countries. However, the bond yields in Greece, Ireland, Italy, Spain, and Portugal became unsynchronised with core countries after 2008. Similarly, there was no synchronisation among the periphery countries during this period, except for Italy and Spain. We found evidence of contagion emanating from Ireland during the first part of the sovereign debt crisis until around 2010, and from Greece afterwards. We also established that contagion spread to Portugal, Greece and Ireland, and can be observed at high frequencies. However, Italy and Spain were not affected. At business cycle frequencies, we found that the Greek crisis propelled a flight-to-quality flow to Belgium, Finland, France and Germany.Fundação para a Ciência e Tecnologia (FCT)Universidade do Minho. Núcleo de Investigação em Políticas Económicas (NIPE)Universidade do MinhoOjo,Mustapha OlalekanAguiar-Conraria, LuísSoares, Maria Joana20192019-01-01T00:00:00Zinfo:eu-repo/semantics/publishedVersioninfo:eu-repo/semantics/articleapplication/pdfhttps://hdl.handle.net/1822/61682enghttps://www.eeg.uminho.pt/pt/investigar/nipe/Paginas/publicacoes.aspxinfo: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:RCAAP2023-07-21T12:44:03Zoai:repositorium.sdum.uminho.pt:1822/61682Portal AgregadorONGhttps://www.rcaap.pt/oai/openaireopendoar:71602024-03-19T19:41:39.710295Repositório 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 |
A time-frequency analysis of sovereign debt contagion in europe |
title |
A time-frequency analysis of sovereign debt contagion in europe |
spellingShingle |
A time-frequency analysis of sovereign debt contagion in europe Ojo,Mustapha Olalekan Contagion European Sovereign Debt Cross-market Co-movements Wavelet Partial Coherency Partial Phase-Difference Wavelet Distance |
title_short |
A time-frequency analysis of sovereign debt contagion in europe |
title_full |
A time-frequency analysis of sovereign debt contagion in europe |
title_fullStr |
A time-frequency analysis of sovereign debt contagion in europe |
title_full_unstemmed |
A time-frequency analysis of sovereign debt contagion in europe |
title_sort |
A time-frequency analysis of sovereign debt contagion in europe |
author |
Ojo,Mustapha Olalekan |
author_facet |
Ojo,Mustapha Olalekan Aguiar-Conraria, Luís Soares, Maria Joana |
author_role |
author |
author2 |
Aguiar-Conraria, Luís Soares, Maria Joana |
author2_role |
author author |
dc.contributor.none.fl_str_mv |
Universidade do Minho |
dc.contributor.author.fl_str_mv |
Ojo,Mustapha Olalekan Aguiar-Conraria, Luís Soares, Maria Joana |
dc.subject.por.fl_str_mv |
Contagion European Sovereign Debt Cross-market Co-movements Wavelet Partial Coherency Partial Phase-Difference Wavelet Distance |
topic |
Contagion European Sovereign Debt Cross-market Co-movements Wavelet Partial Coherency Partial Phase-Difference Wavelet Distance |
description |
This paper adopted a wavelet approach to investigate the financial contagion in the Eurozone debt market during various crisis-ridden periods in the zone. We used weekly 10-year bond yield data and showed that until the onset of the financial crisis of 2007/2008, bond yields were highly synchronised among all countries. However, the bond yields in Greece, Ireland, Italy, Spain, and Portugal became unsynchronised with core countries after 2008. Similarly, there was no synchronisation among the periphery countries during this period, except for Italy and Spain. We found evidence of contagion emanating from Ireland during the first part of the sovereign debt crisis until around 2010, and from Greece afterwards. We also established that contagion spread to Portugal, Greece and Ireland, and can be observed at high frequencies. However, Italy and Spain were not affected. At business cycle frequencies, we found that the Greek crisis propelled a flight-to-quality flow to Belgium, Finland, France and Germany. |
publishDate |
2019 |
dc.date.none.fl_str_mv |
2019 2019-01-01T00:00:00Z |
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 |
https://hdl.handle.net/1822/61682 |
url |
https://hdl.handle.net/1822/61682 |
dc.language.iso.fl_str_mv |
eng |
language |
eng |
dc.relation.none.fl_str_mv |
https://www.eeg.uminho.pt/pt/investigar/nipe/Paginas/publicacoes.aspx |
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 |
Universidade do Minho. Núcleo de Investigação em Políticas Económicas (NIPE) |
publisher.none.fl_str_mv |
Universidade do Minho. Núcleo de Investigação em Políticas Económicas (NIPE) |
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 |
instname_str |
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 |
repository.mail.fl_str_mv |
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1799132966891290624 |