Time-varying contemporaneous spillovers during the European Debt Crisis

This paper considers contemporaneous spillover effects between Germany and four peripheral European countries that were most affected by the European Debt Crisis, and provides evidence of bidirectional spillovers among these equity markets. We document that there is asymmetry and time variation in c...

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Bibliographic Details
Published in:Empirical economics 2019-08, Vol.57 (2), p.423-448
Main Authors: Finta, Marinela Adriana, Frijns, Bart, Tourani-Rad, Alireza
Format: Article
Language:English
Subjects:
Bidirectionality
Bond issues
Econometrics
Economic crisis
Economic models
Economic theory
Economic Theory/Quantitative Economics/Mathematical Methods
Economics
Economics and Finance
Finance
Insurance
Management
Markets
National debt
Statistics for Business
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Summary:This paper considers contemporaneous spillover effects between Germany and four peripheral European countries that were most affected by the European Debt Crisis, and provides evidence of bidirectional spillovers among these equity markets. We document that there is asymmetry and time variation in contemporaneous spillovers. Particularly, contemporaneous return spillovers from Germany to the peripheral equity markets is higher than the other way around. We show that European Debt Crisis led to a decrease in the contemporaneous spillover effects.
ISSN:0377-7332
1435-8921
DOI:10.1007/s00181-018-1480-1