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Sovereign bond market spillovers from crisis-time developments in Greece

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  • Clancy, Daragh
  • Gabriele, Carmine
  • Žigraiová, Diana

Abstract

The systemic importance of a country is a crucial component in the assessment of requests for official-sector financial assistance in the euro area. However, disentangling the effect of developments in one country on others in real time is fraught with difficulties. We demonstrate, using Greece as an example, that ex-ante measures of tail-risk exposure can provide useful real-time signals of cross-market spillovers. We use a novel intra-day event database to verify these results and ensure they are robust to global, euro area and country-specific factors. This data is a useful complement to our tail-risk analysis and allows us to qualitatively disentangle the drivers of developments in Greece that spilled over to other sovereign bond markets. Tail-risk measures could assist with future financial assistance decisions, while our intra-day dataset could provide policymakers with insights into the effects of their communication.

Suggested Citation

  • Clancy, Daragh & Gabriele, Carmine & Žigraiová, Diana, 2022. "Sovereign bond market spillovers from crisis-time developments in Greece," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 78(C).
    • Handle: RePEc:eee:intfin:v:78:y:2022:i:c:s1042443122000464
    DOI: 10.1016/j.intfin.2022.101558
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    More about this item

    Keywords

    Financial assistance; Narrative; Sovereign bonds; Spillovers; Tail risks;
    All these keywords.

    JEL classification:

    • C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
    • F33 - International Economics - - International Finance - - - International Monetary Arrangements and Institutions
    • F34 - International Economics - - International Finance - - - International Lending and Debt Problems
    • F36 - International Economics - - International Finance - - - Financial Aspects of Economic Integration
    • G01 - Financial Economics - - General - - - Financial Crises
    • G15 - Financial Economics - - General Financial Markets - - - International Financial Markets

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