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Cross-Country Spillovers of National Financial Markets and the effectiveness of ECB Policies during the Euro-Area Crises: The view from the south

journal contribution
posted on 19.08.2021, 14:02 by Stephen Hall, H gibson, D GeFang, P Petrolas, GS Tavlas
This paper investigates spillover effects between sovereign ratings and sovereign spreads for five euro-area countries --Greece, Ireland, Italy, Portugal and Spain --using monthly data over the period January 2000 through June 2019. We extend previous work in two ways. First, using spatial estimation, we model and quantify the spillover effects on ratings and spreads among countries. Second, we assess the effectiveness of ECB policies on spreads and ratings. We find significant feedback effects among countries and significant effects of ECB policies.

History

Author affiliation

School of Business

Version

AM (Accepted Manuscript)

Published in

Oxford Economic Papers

Publisher

Oxford University Press (OUP)

issn

0030-7653

Acceptance date

26/07/2021

Copyright date

2021

Publisher DOI

Language

en