Homem Ferreira, Miguel
[VerfasserIn]
;
Nunes, Luis C.
[Sonstige Person, Familie und Körperschaft];
Tavares, José
[Sonstige Person, Familie und Körperschaft]
Erschienen in:FEUNL Working Paper Series ; No. 604
Umfang:
1 Online-Ressource (26 p)
Sprache:
Englisch
DOI:
10.2139/ssrn.2807925
Identifikator:
Entstehung:
Anmerkungen:
Nach Informationen von SSRN wurde die ursprüngliche Fassung des Dokuments July 7, 2016 erstellt
Beschreibung:
The objective of this paper is to assess the differences between contagion and investors' risk aversion in terms of their impact on European sovereign bond yields during the financial crisis. This paper evaluates contagion at banking level, as it has the advantage of capturing the exposure of sovereign debt markets to financial sector's risk and also the contagion between sovereign spreads that occurs through the financial sector channel. The paper analyzes the period from 2008 to 2012 and also the Greek, Portuguese and Spanish bailout periods. The results indicate that the main driver of yields in Europe is risk aversion and not contagion. The main differences between Central and Southern European countries' yields are explained by risk aversion. This channel has a much stronger impact on the periphery. On the other hand, contagion exerts a similar influence throughout all European countries