Flight-to-quality and contagion in the european sovereign debt crisis: the cases of Portugal and Greece
Autor(a) principal: | |
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Data de Publicação: | 2015 |
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/10071/10859 |
Resumo: | This work aims to analyze the co-movements between the Portuguese, Greek, Irish and German government bond markets after the subprime crisis (2007 to 2013). Additionally, it aims to test the existence of contagion between the Portuguese, Greece and Irish bond markets, and to explore the phenomenon of flight-to-quality from the Portuguese and Greek bond markets to the German market. The analysis is undertaken using a DCC-IGARCH model with daily data for the 10 year yields government bonds. Results suggest the existence of contagion between the Greek and the Portuguese markets, and to a lesser extent between the Irish and the Portuguese markets. The correlation between the Portuguese and Greek yields at the end of the analyzed period indicates the non-existence of decoupling between the two countries. During most of the identified crisis periods, flight-to-quality flows are evident from the Portuguese and Greek bond markets to the German market. |
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Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos) |
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Flight-to-quality and contagion in the european sovereign debt crisis: the cases of Portugal and GreeceFinancial contagionFlight-to-qualityEuropean sovereign debt crisisDCC-GARCH modelThis work aims to analyze the co-movements between the Portuguese, Greek, Irish and German government bond markets after the subprime crisis (2007 to 2013). Additionally, it aims to test the existence of contagion between the Portuguese, Greece and Irish bond markets, and to explore the phenomenon of flight-to-quality from the Portuguese and Greek bond markets to the German market. The analysis is undertaken using a DCC-IGARCH model with daily data for the 10 year yields government bonds. Results suggest the existence of contagion between the Greek and the Portuguese markets, and to a lesser extent between the Irish and the Portuguese markets. The correlation between the Portuguese and Greek yields at the end of the analyzed period indicates the non-existence of decoupling between the two countries. During most of the identified crisis periods, flight-to-quality flows are evident from the Portuguese and Greek bond markets to the German market.2016-02-10T10:49:56Z2015-01-01T00:00:00Z2015info:eu-repo/semantics/publishedVersioninfo:eu-repo/semantics/articleapplication/pdfhttp://hdl.handle.net/10071/10859engPereira, I.Lagoa, S.info: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:RCAAP2023-11-09T17:25:06Zoai:repositorio.iscte-iul.pt:10071/10859Portal AgregadorONGhttps://www.rcaap.pt/oai/openaireopendoar:71602024-03-19T22:11:23.087831Repositório 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 |
Flight-to-quality and contagion in the european sovereign debt crisis: the cases of Portugal and Greece |
title |
Flight-to-quality and contagion in the european sovereign debt crisis: the cases of Portugal and Greece |
spellingShingle |
Flight-to-quality and contagion in the european sovereign debt crisis: the cases of Portugal and Greece Pereira, I. Financial contagion Flight-to-quality European sovereign debt crisis DCC-GARCH model |
title_short |
Flight-to-quality and contagion in the european sovereign debt crisis: the cases of Portugal and Greece |
title_full |
Flight-to-quality and contagion in the european sovereign debt crisis: the cases of Portugal and Greece |
title_fullStr |
Flight-to-quality and contagion in the european sovereign debt crisis: the cases of Portugal and Greece |
title_full_unstemmed |
Flight-to-quality and contagion in the european sovereign debt crisis: the cases of Portugal and Greece |
title_sort |
Flight-to-quality and contagion in the european sovereign debt crisis: the cases of Portugal and Greece |
author |
Pereira, I. |
author_facet |
Pereira, I. Lagoa, S. |
author_role |
author |
author2 |
Lagoa, S. |
author2_role |
author |
dc.contributor.author.fl_str_mv |
Pereira, I. Lagoa, S. |
dc.subject.por.fl_str_mv |
Financial contagion Flight-to-quality European sovereign debt crisis DCC-GARCH model |
topic |
Financial contagion Flight-to-quality European sovereign debt crisis DCC-GARCH model |
description |
This work aims to analyze the co-movements between the Portuguese, Greek, Irish and German government bond markets after the subprime crisis (2007 to 2013). Additionally, it aims to test the existence of contagion between the Portuguese, Greece and Irish bond markets, and to explore the phenomenon of flight-to-quality from the Portuguese and Greek bond markets to the German market. The analysis is undertaken using a DCC-IGARCH model with daily data for the 10 year yields government bonds. Results suggest the existence of contagion between the Greek and the Portuguese markets, and to a lesser extent between the Irish and the Portuguese markets. The correlation between the Portuguese and Greek yields at the end of the analyzed period indicates the non-existence of decoupling between the two countries. During most of the identified crisis periods, flight-to-quality flows are evident from the Portuguese and Greek bond markets to the German market. |
publishDate |
2015 |
dc.date.none.fl_str_mv |
2015-01-01T00:00:00Z 2015 2016-02-10T10:49:56Z |
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/10071/10859 |
url |
http://hdl.handle.net/10071/10859 |
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.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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1799134668154470400 |