Uncertainty in Euro area and the bond spreads

Author First name, Last name, Institution

Konstantinos Gkillas, Panepistimion Patron
Athanasios Tsagkanos, Panepistimion Patron
Argyro Svingou, Panepistimion Patron
Costas Siriopoulos, Zayed University

Document Type

Article

Source of Publication

Physica A: Statistical Mechanics and its Applications

Publication Date

1-1-2020

Abstract

© 2019 Elsevier B.V. We investigate potential mean and volatility spillovers among sovereign bond yield spreads for five peripheral countries of the euro area. We focus on Greece, Ireland, Italy, Portugal and Spain during the European sovereign debt crisis. We propose a bootstrap bias-corrected bivariate Vector Autoregressive Moving Average (VARMA), GARCH-in-Mean, asymmetric BEKK model, and find that the level and the volatility of a bond yield spread are mainly dependent on its own past volatility, and thus, its past shocks mainly affect its volatility. Based on our findings, we suggest that the number one priority of the European policymakers be the economic and financial integration of the European peripheral countries into the core.

DOI Link

10.1016/j.physa.2019.122643

ISSN

0378-4371

Publisher

Elsevier B.V.

Volume

537

First Page

122643

Disciplines

Business

Keywords

Asymmetric BEKK model, Bond spreads, European debt crisis, Volatility spillovers

Scopus ID

85072295083

Recommended Citation

Gkillas, Konstantinos; Tsagkanos, Athanasios; Svingou, Argyro; and Siriopoulos, Costas, "Uncertainty in Euro area and the bond spreads" (2020). All Works. 3807.
https://zuscholars.zu.ac.ae/works/3807

Indexed in Scopus

yes

Open Access

no