Intraday dynamics of euro area sovereign credit risk contagion
No Thumbnail Available
Authors
Author (Corporation)
Publication date
07/2016
Typ of student thesis
Course of study
Collections
Type
01B - Magazine or newspaper article
Editors
Editor (Corporation)
Supervisor
Parent work
Bank for International Settlements Working Paper
Special issue
DOI of the original publication
Series
Series number
Volume
Issue / Number
573
Pages / Duration
1-35
Patent number
Publisher / Publishing institution
Bank for International Settlements
Place of publication / Event location
Edition
Version
Programming language
Assignee
Practice partner / Client
Abstract
We examine the role of the CDS and bond markets during and before the recent euro area sovereign debt crisis as transmission channels for credit risk contagion between sovereign entities. We analyse an intraday dataset for GIIPS countries as well as Germany, France and central European countries. Our findings suggest that, prior to the crisis, the CDS and bond markets were similarly important in the transmission of sovereign risk contagion, but that the importance of the bond market waned during the crisis. We find flight-to-safety effects during the crisis in the German bond market that are not present in the pre-crisis sample. Our estimated sovereign risk contagion was greater during the crisis, with an average timeline of one to two hours in GIIPS countries. By using an exogenous macroeconomic news shock, we can show that, during the crisis period, increased credit risk was not related to economic fundamentals. Further, we find that central European countries were not affected by sovereign credit risk contagion, independent of their debt level and currency.
Keywords
credit, contagion, spillover
Subject (DDC)
Event
Exhibition start date
Exhibition end date
Conference start date
Conference end date
Date of the last check
ISBN
ISSN
1020-0959
1682-7678
1682-7678
Language
English
Created during FHNW affiliation
No
Strategic action fields FHNW
Publication status
Published
Review
Peer review of the complete publication
Open access category
License
Citation
TERS, Kristyna, Lubos KOMAREK und Jörg URBAN, 2016. Intraday dynamics of euro area sovereign credit risk contagion. Bank for International Settlements Working Paper. Juli 2016. Nr. 573, S. 1–35. Verfügbar unter: http://hdl.handle.net/11654/24355