Title

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

Document Type

Article

Source of Publication

International Review of Applied Economics

Publication Date

3-4-2019

Abstract

© 2017, © 2017 Informa UK Limited, trading as Taylor & Francis Group. 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.

ISSN

0269-2171

Publisher

Routledge

Volume

33

Issue

2

First Page

209

Last Page

227

Disciplines

Business

Keywords

asymmetric BEKK, Dynamic conditional correlations, Eurozone debt crisis, spillover effects

Scopus ID

85033372504

Indexed in Scopus

yes

Open Access

no

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