کد مقاله | کد نشریه | سال انتشار | مقاله انگلیسی | نسخه تمام متن |
---|---|---|---|---|
963742 | 1479148 | 2017 | 19 صفحه PDF | دانلود رایگان |
عنوان انگلیسی مقاله ISI
Euro area government bonds - Fragmentation and contagion during the sovereign debt crisis
ترجمه فارسی عنوان
اوراق قرضه دولتی منطقه یورو - تقسیم بندی و انفجار در طول بحران بدهی های حاکم
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کلمات کلیدی
موضوعات مرتبط
علوم انسانی و اجتماعی
اقتصاد، اقتصادسنجی و امور مالی
اقتصاد و اقتصادسنجی
چکیده انگلیسی
The paper analyzes the integration of euro area sovereign bond markets during the European sovereign debt crisis. It tests for contagion (i.e., an intensification in the transmission of shocks across countries), fragmentation (a reduction in spillovers) and flight-to-quality patterns, exploiting the heteroskedasticity of intraday changes in bond yields for identification. The paper finds that euro area government bond markets were well integrated prior to the crisis, but saw a substantial fragmentation from 2010 onward. Flight to quality was present at the height of the crisis, but has largely dissipated after the European Central Bank's (ECB's) announcement of its Outright Monetary Transactions (OMT) program in 2012. At the same time, Italy and Spain became more interdependent after the OMT announcement, providing our only evidence of contagion. This suggests that countries have been effectively ring-fenced, and Italy and Spain benefited from the joint reduction in yields following the OMT announcement.
ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Journal of International Money and Finance - Volume 70, February 2017, Pages 26-44
Journal: Journal of International Money and Finance - Volume 70, February 2017, Pages 26-44
نویسندگان
Michael Ehrmann, Marcel Fratzscher,