The financial connectedness between eurozone core and periphery: A disaggregated view

Arbeitspapier

This paper examines the financial stress interconnectedness among GIIPS economies and Germany. Based on market level financial stress indices, it examines the stress transmission process as well as the causal network relationships in banking sector, bond, money and stock markets. The period under investigation, 2001-2013, allows to test the effects of financial crisis of 2008 as well as the subsequent European sovereign crisis. Using two alternative techniques for connectedness analysis, our evidence suggests that the peripheral economies of Italy and Spain play a highly significant role in the stress transmission in all markets, especially in the cases of banks and equity markets. Moreover, we visualize our results using network analysis. Contrary to common wisdom, Portugal, Ireland, and mainly Greece, do not seem to have an important role in amplifying stress levels.

Angaben zum Objekt

• Sprache: Englisch

Verweise und Beziehungen

• Erschienen in: Series: Cardiff Economics Working Papers ; No. E2017/15

Klassifikation und Themen

• Klassifikation: Wirtschaft ; Index Numbers and Aggregation; Leading indicators ; International Financial Markets ; International Finance: General
• Thema: Eurozone ; stress transmission ; connectedness analysis ; spillovers ; networks

Beteiligte, Orts- und Zeitangaben

• Ereignis: Geistige Schöpfung
• (wer): Magkonis, Georgios ; Tsopanakis, Andreas
• Ereignis: Veröffentlichung
• (wer): Cardiff University, Cardiff Business School
• (wo): Cardiff
• (wann): 2017

Weitere Informationen

• Handle: http://hdl.handle.net/10419/174129
• Letzte Aktualisierung: 10.03.2025, 11:44 MEZ