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European sovereign debt crisis and linkage of long-term government bond yields

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Author Info

  • Go Tamakoshi

    ()
    (Graduate School of Economics, Kobe University)

Abstract

Based on the robust cross-correlation function approach developed by Hong (2001), this paper investigates the causality-in-mean and the causality-in-variance of long-term bond yields in seven countries including “PIIGS” (Portugal, Ireland, Italy, Greece, and Spain), Germany, and France. A main contribution of the study is to assess the impacts of the recent European sovereign debt crisis on relationships of the bond yields. We find some evidence of the mean spillover effects, especially from Portugal and France before the crisis and from Portugal and Italy after the crisis. In contrast, the variance spillover effects from Germany interestingly strengthened through the debt crisis in particular despite the apparent lack of its mean transmission effects, whilst major sources of volatility spillover effects had been Portugal and France prior to the crisis.

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File URL: http://www.accessecon.com/Pubs/EB/2011/Volume31/EB-11-V31-I3-P199.pdf
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Bibliographic Info

Article provided by AccessEcon in its journal Economics Bulletin.

Volume (Year): 31 (2011)
Issue (Month): 3 ()
Pages: 2191-2203

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Handle: RePEc:ebl:ecbull:eb-11-00334

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Keywords: Volatility spillover; European sovereign debt crisis;

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Cited by:
  1. Renatas Kizys & Christian Pierdzioch, 2011. "Contagious speculative bubbles: A note on the Greek sovereign debt crisis," Economics Bulletin, AccessEcon, vol. 31(4), pages A296.
  2. Xu, Haifeng & Hamori, Shigeyuki, 2012. "Dynamic linkages of stock prices between the BRICs and the United States: Effects of the 2008–09 financial crisis," Journal of Asian Economics, Elsevier, vol. 23(4), pages 344-352.
  3. Paulo Horta, 2013. "Contagion Effects in the European Nyse Euronext Stock Markets in the Context of the 2010 Sovereign Debt Crisis," CEFAGE-UE Working Papers 2013_12, University of Evora, CEFAGE-UE (Portugal).
  4. Vítor Caldeirinha & J. Augusto Felício & Andreia Dionísio, 2013. "Effect of the container terminal characteristics on performance," CEFAGE-UE Working Papers 2013_13, University of Evora, CEFAGE-UE (Portugal).
  5. Takashi Miyazaki & Shigeyuki Hamori, 2013. "Testing for causality between the gold return and stock market performance: evidence for ‘gold investment in case of emergency’," Applied Financial Economics, Taylor & Francis Journals, vol. 23(1), pages 27-40, January.
  6. Stolbov, Mikhail, 2014. "The causal linkages between sovereign CDS prices for the BRICS and major European economies," Economics Discussion Papers 2014-9, Kiel Institute for the World Economy.

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