The Dynamics of Spillover Effects during the European Sovereign Debt Turmoil

By Adrian Alter, A. Beyer. 2014

374 citations recorded by the source corpus.

Subfields: Finance

View Paper: https://www.semanticscholar.org/paper/687a634d2659f08c396f8bee82135a4ab9e6fe21

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Citations in the corpus

The Pricing of Sovereign Risk and Contagion During the European Sovereign Debt Crisis (2013, background): “Alter and Beyer (2013), Gross and Kok (2013)), other papers have examined the determinants of sovereign spreads. For example, D’Agostino and Ehrmann (2013) model the determinants of sovereign spreads using a time-varying stochastic volatility model for the G7 economies. While a strong role is found ”
Refined Measures of Dynamic Connectedness based on Time-Varying Parameter Vector Autoregressions (2020, background): “…to the stock market interdependencies, volatility spillovers, business cycle spillovers, as well as bond yield spillovers (see, inter alia, Alter and Beyer 2014; Antonakakis 2012; Awartani and Maghyereh 2013; Bekaert et al. 2014; Bubák et al. 2011; Diebold and Yilmaz 2015; McMillan and Speight…”
Oil shocks and stock markets: dynamic connectedness under the prism of recent geopolitical and economic unrest (2017, background): “We highlight that the issue of interdependence (either in a static or a time–varying environment) between financial markets and its importance for portfolio managers, asset pricing model and forecasting has been extensively studied in the literature (see, for instance Apergis et al., 2016; Baruńık e”
Feeling the Heat: Climate Risks and the Cost of Sovereign Borrowing (2021, background): “For example, Alter and Beyer (2014) test the effect on sovereign risk and bank CDS from unexpected shocks imposed on sovereign creditworthiness and country-specific bank indices. Other work has taken a financial integration perspective, with Baldacci and Kumar (2010) noting that price discovery in g”
Quantile Connectedness: Modeling Tail Behavior in the Topology of Financial Networks (2022, methodology): “Several techniques for the econometric analysis of financial networks have been proposed in recent years, including those based on Granger-causality and on innovation accounting (e.g. Billio, Getmansky, Lo and Pelizzon, 2012; Diebold and Yilmaz, 2009, 2014; Alter and Beyer, 2014).”
Credit Default Swaps: A Survey (2014, background): “Alter and Beyer [2014] aggregate spillover indices, estimated from impulse-response functions in a VAR setting, between the sovereigns and banks of 11 E.”
Does COVID-19 open a Pandora's box of changing the connectedness in energy commodities? (2020, neutral): “, 2018) and financial price connectedness (Alter and Beyer, 2014; Ji et al., 2019b; Tiwari et al., 2020). However, this method has the following certain shortcomings: (1) rolling-window analysis would lose some observations in the calculation; (2) a suitable width of the window must be set otherwise”