Intraday Dynamics of Euro Area Sovereign Credit Risk Contagion

dc.accessRightsAnonymous
dc.audienceScience
dc.contributor.authorTers, Kristyna
dc.contributor.authorKomarek, Lubos
dc.contributor.authorUrban, Jörg
dc.date.accessioned2017-02-10T10:07:17Z
dc.date.available2017-02-10T10:07:17Z
dc.date.issued2016-06
dc.description.abstractWe 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.
dc.description.urihttps://www.cnb.cz/miranda2/export/sites/www.cnb.cz/en/research/research_publications/cnb_wp/download/cnbwp_2016_04.pdf
dc.identifier.urihttp://hdl.handle.net/11654/24354
dc.issue4
dc.language.isoen
dc.relation.ispartofCzech National Bank Working Paper Seriesen_US
dc.subjectspillover
dc.subjectcontagion
dc.subjectcredit
dc.titleIntraday Dynamics of Euro Area Sovereign Credit Risk Contagion
dc.type01A - Beitrag in wissenschaftlicher Zeitschrift
dspace.entity.typePublication
fhnw.InventedHereYes
fhnw.IsStudentsWorkno
fhnw.PublishedSwitzerlandYes
fhnw.ReviewTypeAnonymous ex ante peer review of a complete publication
fhnw.affiliation.hochschuleHochschule für Wirtschaftde_CH
fhnw.affiliation.institutBachelor of Sciencede_CH
fhnw.pagination1-40
fhnw.publicationOnlineJa
fhnw.publicationStatePublished
relation.isAuthorOfPublication1a30adf1-7873-4499-a14f-4a21266ab056
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relation.isAuthorOfPublication.latestForDiscovery1a30adf1-7873-4499-a14f-4a21266ab056
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