| 来源类型 | Discussion paper |
| 规范类型 | 论文 |
| 来源ID | DP9803 |
| DP9803 The Impact of News and the SMP on Realized (Co)Variances in the Eurozone Sovereign Debt Market | |
| Roel Beetsma; Frank de Jong; Massimo Giuliodori | |
| 发表日期 | 2014-02-02 |
| 出版年 | 2014 |
| 语种 | 英语 |
| 摘要 | We use realized variances and covariances based on intraday data from Eurozone sovereign bond market to measure the dependence structure of eurozone sovereign yields. Our analysis focuses on the impact of news, obtained from the Eurointelligence newsflash, on the dependence structure. More news raises the volatility of interest rates of financially distressed countries and decreases the covariance of distressed countries' yields with German bond yields, suggesting a flight-to-quality effect. Common news about the euro crisis and news about specific countries itself tend to raise the covariance of yields between distressed countries, indicating potential crisis spill-over effects. However, we do not detect spillover effects from news about third countries to the covariance between other country pairs. Bond purchases by the ECB under its Securities Markets Programme (SMP) mitigate the negative crisis spillovers among the distressed countries and reduce the flight-to-safety from the distressed countries to Germany. |
| 主题 | Financial Economics ; International Macroeconomics |
| 关键词 | Crisis Eurozone Realized covariances Smp Sovereign debt Spillovers |
| URL | https://cepr.org/publications/dp9803 |
| 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/538639 |
| 推荐引用方式 GB/T 7714 | Roel Beetsma,Frank de Jong,Massimo Giuliodori. DP9803 The Impact of News and the SMP on Realized (Co)Variances in the Eurozone Sovereign Debt Market. 2014. |
| 条目包含的文件 | 条目无相关文件。 | |||||
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