Spillovers across European sovereign credit markets and role of surprise and uncertainty
Year: 2019
Type: article
Abstract: We identify the network structure of spillovers and time-varying spillover intensities across European sovereign credit markets proposing a novel Copula-Granger causality based structural vector auto-regressive (SVAR) approach. Via the proposed framework, we examine the topological and time-varying spillover and contagion between 13 European credit markets, which is found to be consistent with crisis events. The heterogeneity in directional impacts could be useful in revealing contagion effects across the credit markets. We also find that newly proposed surprise and uncertainty indexes, among other macro-economic variables, significantly explain the spillover dynamics.
Source: Applied Economics
Language: English
Subfield: Finance
Domain: Social Sciences
Open Access status: green
OpenAlex ID: W2973006390