Have the GIPSI settled down? Breaks and multivariate stochastic volatility models for, and not against, the European financial integration

Gębka, Bartosz; Karoglou, Michail

doi:10.1016/j.jbankfin.2013.04.035

Cited by 15 publications

(10 citation statements)

References 41 publications

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“…It has been suggested that comovements are a reflection of integration within respective markets (Bekaert et al, 2009). However, there is evidence (albeit limited) that such co-movements may be driven by intra-EU (as opposed to EU-wide) integration patterns; see for example, Gębka and Karoglou (2013). Fourth, and to the best of our knowledge, we provide the first integrated estimation on an extended data set of an ADCC-GARCH type of model with Markov-Switching models.…”

Section: Introductionmentioning

confidence: 88%

“…As such, it may be plausibly argued that from the two situations, the former may be preferable from certain viewpoints (e.g., a regulator's) as the same -treatment‖ should be applied in all nations. Where some nations have been heavily exposed to financial contagion while others have weathered the storm may be trickier as it could give rise to further instability, dichotomy of suggested approaches at a policy-making level and inevitably discussions about a -two-speed Europe‖ (Gębka and Karoglou, 2013). Ultimately, and as argued in Yang et al, (2003) and Bley (2009), financial integration differentials across time and EU-wide, may undermine the pursuit of the Single Market's ultimate goal.…”

Section: From Integration To Contagionmentioning

confidence: 99%

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Will the crisis “tear us apart”? Evidence from the EU

Pappas

Ingham

Izzeldin

et al. 2016

International Review of Financial Analysis

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We examine the synchronisation of the European Union (EU) financial markets before and during the 2007 global financial crisis. We use an Asymmetric Dynamic Conditional Correlation (ADCC)-GARCH framework to control for the time-varying correlations and a Markov-Switching model to identify regime changes. Our sample considers 27 EU nations for the period 2000-2011. For each nation we formulate several characteristics of the crisis such as, synchronicity, duration and intensity measures. We find that the more recent EU members had a lagged entry to the crisis regime, were less adversely affected, show higher correlation between their stock markets and have their credit scores being revised more frequently relative to established EU members. We also find that higher levels of sovereign debt and lower levels of industrialisation positively impact crisis duration and intensity. Our results refute the notion of uniform integration of EU financial markets as evident from the highly non-synchronised observed crisis experience among the EU members. As such, one-size fits all policies are likely to be ineffective.

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Section: Introductionmentioning

confidence: 88%

Section: From Integration To Contagionmentioning

confidence: 99%

Will the crisis “tear us apart”? Evidence from the EU

Pappas

Ingham

Izzeldin

et al. 2016

International Review of Financial Analysis

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“…Furthermore, Denmark and Sweden opted not to join the Eurozone. Finally, recent discussions relating to competitiveness, fiscal deficits and public debt problems underpin the PIIGS group of nations, see for example, Gebka & Karoglou (2013). Table 1 (Panels A-E) presents key descriptive statistics for the Financial, Consumer Goods, Telecommunications and Health Care and Industrials indices for the respective countries.…”

Section: Data and Descriptive Statisticsmentioning

confidence: 99%

Sectoral dynamics of financial contagion in Europe - The cases of the recent crises episodes

Alexakis

Pappas

2018

Economic Modelling

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“…Gebka and Karoglou (2013) report a positive correlation between stock returns in Greece and the UK, Germany and France. As mentioned in the literature review, Stracca (2015) also discovers different effects of the euro crisis on equities and bond yields.…”

mentioning

confidence: 99%

Safe haven or contagion? The disparate effects of Euro-zone crises on non-Euro-zone neighbours

Bird

Pentecost

et al. 2017

Applied Economics

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While there have been many studies that examine contagion within the Euro-zone, this paper investigates the potential contagion from changes in the Greek sovereign risk premium over 2009-2016, as measured by the yield on 10 year government bonds, to six European countries outside of the Eurozone all of which operated a managed float against the Euro. We find evidence of contagion to potential Euro-zone ascendants (Czech Republic, Hungary and Poland), but 'flight to safety' (or safe haven) effects for the United Kingdom, Sweden and Switzerland.

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Have the GIPSI settled down? Breaks and multivariate stochastic volatility models for, and not against, the European financial integration

Cited by 15 publications

References 41 publications

Will the crisis “tear us apart”? Evidence from the EU

Will the crisis “tear us apart”? Evidence from the EU

Sectoral dynamics of financial contagion in Europe - The cases of the recent crises episodes

Safe haven or contagion? The disparate effects of Euro-zone crises on non-Euro-zone neighbours

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