Financial market linkages and the sovereign debt crisis
نویسندگان
چکیده
We develop a novel approach to investigate the presence of financial contagion during European sovereign debt crisis. The novelty lies in modelling bond yield market comovements allowing individual long-run variances be time-dependent and correlations change smoothly between two extreme states according time observable variables. new model has flexibility discern short-run effects on basis variable used as indicator for time-variation correlations. main results provide evidence across peripheral countries following more acute phase
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ژورنال
عنوان ژورنال: Journal of International Money and Finance
سال: 2022
ISSN: ['0261-5606', '1873-0639']
DOI: https://doi.org/10.1016/j.jimonfin.2021.102596