Dancing Spreads: Market Assessment of Contagion from the Crisis in the Euro Periphery based on Distress Dependence Analysis

Melander, Ola; Pant, Malika; Segoviano, Miguel A.; Vamvakidis, Athanasios

doi:10.1007/s11294-011-9309-0

Cited by 6 publications

(2 citation statements)

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“…They have estimated a threshold vector errorcorrection model and have argued that their results indicate that adjustment costs are of economic relevance (at least in the short run). Moreover, a paper by Melander et al (2011) applies Consistent Information Multivariate Density Optimizing Methodology (CIMDO) using CDS spreads to assess the market beliefs of contagion between sovereigns and banks in Western Europe (e.g. France and Germany), euro area periphery (e.g.…”

Section: Literature Overviewmentioning

confidence: 99%

Testing for a break in the persistence in yield spreads of EMU government bonds

Sibbertsen

Wegener

Basse

2014

Journal of Banking & Finance

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Section: Literature Overviewmentioning

confidence: 99%

Testing for a break in the persistence in yield spreads of EMU government bonds

Sibbertsen

Wegener

Basse

2014

Journal of Banking & Finance

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“…It appears in a number of technical economics papers, covering topics such as asset valuation (Byström ), eurozone contagion (Melander et al. ) and credit default swaps (Pu & Zhang ). The term ‘PIIGS’ becomes synonymous with the countries involved in European debt crisis (Hallet & Jensen ).…”

Section: How Ireland Joined the Pigsmentioning

confidence: 99%

From ‘Tiger’ to ‘PIIGS’: Ireland and the use of heuristics in comparative political economy

Brazys

Hardiman

2014

European J Political Res

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Acronyms for groups of countries provide an often useful shorthand to capture emergent similarities, and terms such as PIIGS, BRICs and LDCs pervade the lexicon of international and comparative political economy. But they can also lead to misleading narratives, since the grounds for use of these terms as heuristic devices are usually not well elaborated. This can become problematic when the use of such heuristics drives market responses in areas such as risk perception and changes in interest rates. In this paper we look at the narrative construction of the group of countries that has been grouped as 'PIIGS' (Portugal, Ireland, Italy, Greece, and Spain).We examine the process whereby the group came into being, trace how Ireland became a member of this grouping, and assess the merits of classifying these countries together. Our contention is that the repetition of the acronym in public debate shaped the behaviour of market

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