Intraday dynamics of euro area sovereign credit risk contagion
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Autor:innen
Autor:in (Körperschaft)
Publikationsdatum
07/2016
Typ der Arbeit
Studiengang
Sammlung
Typ
01B - Beitrag in Magazin oder Zeitung
Herausgeber:innen
Herausgeber:in (Körperschaft)
Betreuer:in
Übergeordnetes Werk
Bank for International Settlements Working Paper
Themenheft
DOI der Originalpublikation
Reihe / Serie
Reihennummer
Jahrgang / Band
Ausgabe / Nummer
573
Seiten / Dauer
1-35
Patentnummer
Verlag / Herausgebende Institution
Bank for International Settlements
Verlagsort / Veranstaltungsort
Auflage
Version
Programmiersprache
Abtretungsempfänger:in
Praxispartner:in/Auftraggeber:in
Zusammenfassung
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.
Schlagwörter
credit, contagion, spillover
Fachgebiet (DDC)
Veranstaltung
Startdatum der Ausstellung
Enddatum der Ausstellung
Startdatum der Konferenz
Enddatum der Konferenz
Datum der letzten Prüfung
ISBN
ISSN
1020-0959
1682-7678
1682-7678
Sprache
Englisch
Während FHNW Zugehörigkeit erstellt
Nein
Zukunftsfelder FHNW
Publikationsstatus
Veröffentlicht
Begutachtung
Peer-Review der ganzen Publikation
Open Access-Status
Lizenz
Zitation
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