IDEAS home Printed from https://ideas.repec.org/a/taf/irapec/v33y2019i2p209-227.html
   My bibliography  Save this article

Financial illness and political virus: the case of contagious crises in the Eurozone

Author

Listed:
  • Aristeidis Samitas
  • Elias Kampouris

Abstract

This paper investigates the volatility spillover effects from the southern to northern part of the Eurozone during the sovereign debt crisis. Focusing on different phases of the crises, we propose using the dynamic conditional correlation model and the BEKK model to identify possible linkages during the period of 2005–2015. The findings showed that both models behave satisfactorily and are flexible in presenting spillover effects. However, regarding conditional correlations, the asymmetric dynamic conditional correlation model seems to fit better. Additionally, Spain and Italy can significantly damage all strong northern economies, while Greece’s negative shocks are capable of co-moving the French index. Finally, France is the most correlated country within the southern Eurozone.

Suggested Citation

  • Aristeidis Samitas & Elias Kampouris, 2019. "Financial illness and political virus: the case of contagious crises in the Eurozone," International Review of Applied Economics, Taylor & Francis Journals, vol. 33(2), pages 209-227, March.
    • Handle: RePEc:taf:irapec:v:33:y:2019:i:2:p:209-227
    DOI: 10.1080/02692171.2017.1394272
    as

    Download full text from publisher

    File URL: http://hdl.handle.net/10.1080/02692171.2017.1394272
    Download Restriction: Access to full text is restricted to subscribers.
    File URL: https://libkey.io/10.1080/02692171.2017.1394272?utm_source=ideas
    LibKey link: if access is restricted and if your library uses this service, LibKey will redirect you to where you can use your library subscription to access this item
    ---><---

    As the access to this document is restricted, you may want to search for a different version of it.

    Citations

    Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
    as


    Cited by:

    1. Noman, Abu Hanifa Md & Karim, Muhammad Mahmudul & Hassan, Mohammad Kabir & Khan, Muhammad Asif & Pervin, Sajeda, 2023. "COVID-19 pandemic and the dynamics of major investable assets: What gives shelter to investors?," International Review of Economics & Finance, Elsevier, vol. 86(C), pages 14-30.

    More about this item

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:taf:irapec:v:33:y:2019:i:2:p:209-227. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    We have no bibliographic references for this item. You can help adding them by using this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Chris Longhurst (email available below). General contact details of provider: http://www.tandfonline.com/CIRA20 .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.