Impacts of the financial crisis on eurozone sovereign CDS spreads

Gündüz, Yalın; Kaya, Orçun

doi:10.1016/j.jimonfin.2014.03.013

Cited by 38 publications

(13 citation statements)

References 44 publications

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“…In sum, our findings seem to corroborate prior evidence that contagion may have had multiple sources, both from within and outside the Eurozone, as suggested by Broto and Perez-Quiros (2015) and Gündüz and Kaya (2014), using alternative econometric methodologies.…”

Section: Dcc-garch Analysissupporting

confidence: 88%

Contagion and interdependence in Eurozone bank and sovereign credit markets

2018

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This paper focuses on the nature of co‐movement of credit risk measured by credit default swap spreads in both banking and sovereign sectors within EMU. We test for contagion and/or interdependence across countries and across banks under the prism of the Eurozone's Financial Stability Pact. Our main results on financial stability show mostly interdependence within EMU, as expected. In contrast, contagion has only been found in some cases, the determinants of which are attributed to political risk and market risk factors.

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Section: Dcc-garch Analysissupporting

confidence: 88%

Contagion and interdependence in Eurozone bank and sovereign credit markets

2018

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“…An alternative to the Toda and Yamamoto test is to use a vector error correction model (VECM). But, in a small sample such as ours, the VAR models offer more reliable results than the VECMs (Naka and Tufte 1997), and the VAR model in general performs well in explaining relationships between various macroeconomic variables and has been commonly used in studies of the finance-growth nexus (Demetriades and Hussein 1996;Kamin and Rogers 2000;Rousseau and Vuthipadadorn 2005;Gündüz and Kaya 2014). As a sensitivity test, however, we also test whether the series are cointegrated using the Johansen cointegration method.…”

Section: Methodsmentioning

confidence: 92%

Lending for growth? A Granger causality analysis of China’s finance–growth nexus

2016

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China's banking sector is dominated by four distinct organizational forms: policy banks (PBs), state-owned commercial banks (SOCBs), joint stock commercial banks (JSCBs), and rural credit cooperatives (RCCs). Economic analyses have especially focused on the development of bank efficiency and profitability over time. The equally important question, which of China's banking institutions promote economic growth, has not been explored using macroeconomic data. Our study uses a novel data set covering the period 1997-2008 and employs Granger causality tests to estimate the finance-growth nexus of each of these bank types. Our results show that SOCBs and RCCs do not Granger-cause GDP growth and that SOCBs even have a negative effect on manufacturing growth. By contrast, PBs and JSCBs promote economic growth.

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“…The 5-year maturity is chosen because of the high liquidity and consider different restructuring clauses 4 for sovereigns and banks. For the empirical study, we transform the data by taking the first differences (denoted by the first difference operator, Δ) of the log CDS series and the first differences of the log Euro exchange rates as well as the VIX, which is the standard approach in this literature (see, e.g., Gündüz & Kaya, 2014;Alter & Beyer, 2014;Gross & Kok, 2013;Gray et al, 2013). For banks, we use CDS with the Doc Clause preferred by the corresponding region.…”

Section: Data and Model Specificationmentioning

confidence: 99%

Spillover effects of credit default risk in the euro area and the effects on the Euro: A GVAR approach

Bettendorf

2018

Int. J Fin Econ

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During the 2008 financial crisis, increasing risk and spillovers became a main concern for policy makers and banks. In addition, changes in sovereign and bank risk are believed to have had strong effects on world‐wide exchange rates. This paper aims to analyse these dynamics empirically. We estimate a Global VAR (GVAR) model for nine EMU countries plus Japan, the United Kingdom, and the United States and identify structural risk shocks using sign restrictions. Our results indicate that spillover effects of general risk are much stronger than those of bailouts. Furthermore, we demonstrate that the Euro depreciates significantly against the Yen and U.S. dollar following general risk shocks in the euro area and only to a small extent following bailout shocks. The Pound Sterling is not affected by any of these shocks. The Euro variability is, from the EMU perspective, mainly driven by shocks stemming from large countries (e.g., Germany, France, and Italy). However, shocks from third countries also play an important role.

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Impacts of the financial crisis on eurozone sovereign CDS spreads

Cited by 38 publications

References 44 publications

Contagion and interdependence in Eurozone bank and sovereign credit markets

Contagion and interdependence in Eurozone bank and sovereign credit markets

Lending for growth? A Granger causality analysis of China’s finance–growth nexus

Spillover effects of credit default risk in the euro area and the effects on the Euro: A GVAR approach

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