Financial contagion dynamics from the US to the PIIGS amidst the global financial crisis

IF 2.9 3区经济学 Q1 ECONOMICS

Quarterly Review of Economics and Finance Pub Date : 2024-07-27 DOI:10.1016/j.qref.2024.101895

Christos Tzomakas

引用次数: 0

Abstract

The European Monetary Union (EMU) sovereign debt crisis has been thoroughly investigated in the literature. However, our analysis attempts to shed light on the link between the U.S. and the PIIGS (Portugal, Ireland, Italy, Greece, and Spain) bond markets during the Great Recession. We employ a daily 12-year period dataset and utilize an EGARCH-X approach. Our results reveal significant contagion effects from the U.S. bond market towards the yields of PIIGS bonds. However, our findings suggests that the distribution imposed on the standardized residuals is crucial for identifying the magnitude of the contagion.

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全球金融危机中从美国到 PIIGS 的金融传染动态

文献对欧洲货币联盟（EMU）主权债务危机进行了深入研究。然而，我们的分析试图揭示大衰退期间美国与 PIIGS（葡萄牙、爱尔兰、意大利、希腊和西班牙）债券市场之间的联系。我们采用了一个为期 12 年的每日数据集，并使用了 EGARCH-X 方法。我们的结果表明，美国债券市场对 PIIGS 债券收益率有明显的传染效应。然而，我们的研究结果表明，标准化残差的分布对于确定传染的程度至关重要。

本文章由计算机程序翻译，如有差异，请以英文原文为准。

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来源期刊

Quarterly Review of Economics and Finance ECONOMICS-

CiteScore

6.00

自引率

2.90%

发文量

118

期刊介绍： The Quarterly Review of Economics and Finance (QREF) attracts and publishes high quality manuscripts that cover topics in the areas of economics, financial economics and finance. The subject matter may be theoretical, empirical or policy related. Emphasis is placed on quality, originality, clear arguments, persuasive evidence, intelligent analysis and clear writing. At least one Special Issue is published per year. These issues have guest editors, are devoted to a single theme and the papers have well known authors. In addition we pride ourselves in being able to provide three to four article "Focus" sections in most of our issues.