The euro area sovereign debt crisis: Identifying flight-to-liquidity and the spillover mechanisms |
| |
| Institution: | 1. Cardiff Business School, Cardiff University, CF10 3EU, UK;2. School of Economics, Finance and Management, University of Bristol, Bristol BS8 1TU, UK;3. Accounting, Economics and Finance, Cardiff School of Management, Cardiff Metropolitan University, CF5 2YB, UK;1. Associate Professor, College of Business, Department of Economics, James Madison University, 421 Bluestone Dr., MSC 0204, ZSH 442, Harrisonburg, VA 22807, United States;2. Associate Professor, Department of Economics, University of Wisconsin-Milwaukee, Box 413, Bolton Hall 806, Milwaukee, WI 53201, USA;3. Associate Professor, Department of Economics, Northeastern University, 301 Lake Hall, Boston, Massachusetts, 02115, USA;1. Capital Four Management A/S, Denmark;2. Department of Finance, Copenhagen Business School, Solbjerg Plads 3, DK-2000 Frederiksberg, Denmark;3. Department of Economics, Aarhus BSS, Aarhus University, Denmark |
| |
| Abstract: | Looking at the daily period between January 2006 and December 2012, besides the traditional credit and liquidity risks, which explain the developments of sovereign yields relative to the Bund for Greece, Ireland, Portugal, Spain and Italy, two additional factors have played a key role in the developments of euro area sovereign yield spreads: flight to liquidity benefiting the German Bund and the spillover effect from Greece. The flight to liquidity premium, which is estimated by constructing the spread between a German state guaranteed agency bond and the Bund, is behind the pricing of all euro area spreads and, specifically, is the only factor explaining the sovereign spreads for Finland and the Netherlands. The spillover effect from Greece, which is identified using complementary approaches, has contributed to developments in spreads of countries with weaker fiscal fundamentals, a lower degree of competitiveness and a higher need of foreign financing. However, a large fraction of the spillover across countries remains unexplained. |
| |
| Keywords: | |
| 本文献已被 ScienceDirect 等数据库收录！ |
|
