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Safe haven or contagion? The disparate effects of Euro-zone crises on non-Euro-zone neighbours
While there have been many studies that examine contagion within the Euro-zone, this paper investigates the potential contagion from changes in the Greek sovereign risk premium over 2009-2016, as measured by the yield on 10 year government bonds, to six European countries outside of the Euro-zone al...
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| Main Authors: | , , , |
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| Format: | Default Article |
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2017
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| Online Access: | https://hdl.handle.net/2134/27173 |
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| _version_ | 1822543656717910016 |
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| author | Graham Bird Wenti Du Eric Pentecost Thomas Willett |
| author_facet | Graham Bird Wenti Du Eric Pentecost Thomas Willett |
| author_sort | Graham Bird (3711442) |
| collection | Figshare |
| description | While there have been many studies that examine contagion within the Euro-zone, this paper investigates the potential contagion from changes in the Greek sovereign risk premium over 2009-2016, as measured by the yield on 10 year government bonds, to six European countries outside of the Euro-zone all of which operated a managed float against the Euro. We find evidence of contagion to potential Euro-zone ascendants (Czech Republic, Hungary and Poland), but ‘flight to safety’ (or safe haven) effects for the United Kingdom, Sweden and Switzerland. |
| format | Default Article |
| id | rr-article-9493952 |
| institution | Loughborough University |
| publishDate | 2017 |
| record_format | Figshare |
| spelling | rr-article-94939522017-08-24T00:00:00Z Safe haven or contagion? The disparate effects of Euro-zone crises on non-Euro-zone neighbours Graham Bird (3711442) Wenti Du (7195139) Eric Pentecost (1250553) Thomas Willett (7195142) Other economics not elsewhere classified Safe haven effects Contagion Sovereign risk premia Multivariate GARCH Economics not elsewhere classified While there have been many studies that examine contagion within the Euro-zone, this paper investigates the potential contagion from changes in the Greek sovereign risk premium over 2009-2016, as measured by the yield on 10 year government bonds, to six European countries outside of the Euro-zone all of which operated a managed float against the Euro. We find evidence of contagion to potential Euro-zone ascendants (Czech Republic, Hungary and Poland), but ‘flight to safety’ (or safe haven) effects for the United Kingdom, Sweden and Switzerland. 2017-08-24T00:00:00Z Text Journal contribution 2134/27173 https://figshare.com/articles/journal_contribution/Safe_haven_or_contagion_The_disparate_effects_of_Euro-zone_crises_on_non-Euro-zone_neighbours/9493952 CC BY-NC-ND 4.0 |
| spellingShingle | Other economics not elsewhere classified Safe haven effects Contagion Sovereign risk premia Multivariate GARCH Economics not elsewhere classified Graham Bird Wenti Du Eric Pentecost Thomas Willett Safe haven or contagion? The disparate effects of Euro-zone crises on non-Euro-zone neighbours |
| title | Safe haven or contagion? The disparate effects of Euro-zone crises on non-Euro-zone neighbours |
| title_full | Safe haven or contagion? The disparate effects of Euro-zone crises on non-Euro-zone neighbours |
| title_fullStr | Safe haven or contagion? The disparate effects of Euro-zone crises on non-Euro-zone neighbours |
| title_full_unstemmed | Safe haven or contagion? The disparate effects of Euro-zone crises on non-Euro-zone neighbours |
| title_short | Safe haven or contagion? The disparate effects of Euro-zone crises on non-Euro-zone neighbours |
| title_sort | safe haven or contagion? the disparate effects of euro-zone crises on non-euro-zone neighbours |
| topic | Other economics not elsewhere classified Safe haven effects Contagion Sovereign risk premia Multivariate GARCH Economics not elsewhere classified |
| url | https://hdl.handle.net/2134/27173 |