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Sovereign bond market dependencies and crisis transmission around the eurozone debt crisis: a dynamic copula approach
Journal article   Peer reviewed

Sovereign bond market dependencies and crisis transmission around the eurozone debt crisis: a dynamic copula approach

Stelios Bekiros, Shawkat Hammoudeh, Rania Jammazi and Duc Khuong Nguyen
Applied economics, v 50(47), pp 5031-5049
08 Oct 2018
DOI: https://doi.org/10.1080/00036846.2018.1470313
Featured in Collection :   UN Sustainable Development Goals @ Drexel

Abstract

dynamic copulas government bonds Sovereign debt crisis stochastic dependence
We examine the dependency between the European government bond markets around the recent sovereign debt crisis. A dynamic copula approach is used to model the time-varying dependence structure of those government bond markets, evaluate the nature and strength of their dependencies over time, and gauge the transmission of the crisis shocks. Our results can be summarized as follows: i) the eurozone sovereign bond markets under consideration have a significant and positive dependence with the Greek and the EMU benchmark sovereign bond markets; ii) the dynamic-BB7 copula function best describes the dependence structure between these sovereign bond markets and provides evidence of asymmetric tail dependence; iii) the conditional probability of crisis transmission from Greece to other eurozone countries is higher than the other way around; and iv) Greece is the most vulnerable country when the eurozone entered into the sovereign debt crisis.

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10 citations in Web of Science
10 citations in Scopus

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#8 Decent Work and Economic Growth

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Domestic collaboration
International collaboration
Web of Science research areas
Economics
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