| 来源类型 | Discussion paper |
| 规范类型 | 论文 |
| 来源ID | DP9043 |
| DP9043 Spread the News: How the Crisis Affected the Impact of News on the European Sovereign Bond Markets | |
| Roel Beetsma; Frank de Jong; Massimo Giuliodori | |
| 发表日期 | 2012-07-01 |
| 出版年 | 2012 |
| 语种 | 英语 |
| 摘要 | We investigate how "news" affected domestic interest spreads vis-à-vis Germany and how it propagated to other countries during the recent crisis period, thereby distinguishing between the so-called GIIPS countries and other European countries. We make original use of the Eurointelligence newsflash to construct news variables based on the amount of news that is released on a country on a given date. We find that more news on average raises the domestic interest spread of GIIPS countries since September 2009. In addition, we find that it leads to an increase in the interest spreads of other GIIPS countries. The magnitude of the news effects is related to cross-border bank holdings. A split of news into bad and good news shows that the upward pressure on domestic and foreign interest spreads is driven by bad news. We also find spill-overs of bad news from GIIPS countries onto non-GIIPS countries. However, the magnitude of these spill-overs is substantially smaller than that to other GIIPS countries. |
| 主题 | International Macroeconomics |
| 关键词 | Co-movement Spill-overs Interest rate spreads New variables Euro-intelligence Giips Non-giips |
| URL | https://cepr.org/publications/dp9043 |
| 来源智库 | Centre for Economic Policy Research (United Kingdom) |
| 资源类型 | 智库出版物 |
| 条目标识符 | http://119.78.100.153/handle/2XGU8XDN/537875 |
| 推荐引用方式 GB/T 7714 | Roel Beetsma,Frank de Jong,Massimo Giuliodori. DP9043 Spread the News: How the Crisis Affected the Impact of News on the European Sovereign Bond Markets. 2012. |
| 条目包含的文件 | 条目无相关文件。 | |||||
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