Universität zu Köln

Blatt, Dominik, Candelon, Bertrand and Manner, Hans (2015). Detecting contagion in a multivariate time series system: An application to sovereign bond markets in Europe. J. Bank Financ., 59. S. 1 - 14. AMSTERDAM: ELSEVIER SCIENCE BV. ISSN 1872-6372

Full text not available from this repository.

Abstract

This paper proposes an original three-part sequential testing procedure (STP) with which to test for contagion using a multivariate model. First, conditional on breaks in the conditional mean, the procedure identifies distinct structural breaks in the volatility of a given set of countries. A further structural break test applied to the correlation matrix identifies and then dates the potential contagion mechanisms. As a third element, the STP tests for the distinctiveness of the break dates previously found. As a result of using multi-dimensional data, the STP has high testing power and is able to locate the dates of contagion more precisely. The application to European long-term interest rates shows that immediate contagion from Greece does not take place, but the dynamic spillovers are shown to increase after controlling for breaks in the different model parameters. For other countries we find evidence of both contagion and flight-to-quality mechanisms. (C) 2015 Elsevier B.V. All rights reserved.

Item Type:	Journal Article
Creators:	Creators Email ORCID ORCID Put Code Blatt, Dominik UNSPECIFIED UNSPECIFIED UNSPECIFIED Candelon, Bertrand UNSPECIFIED UNSPECIFIED UNSPECIFIED Manner, Hans UNSPECIFIED UNSPECIFIED UNSPECIFIED
URN:	urn:nbn:de:hbz:38-391669
DOI:	10.1016/j.jbankfin.2015.06.003
Journal or Publication Title:	J. Bank Financ.
Volume:	59
Page Range:	S. 1 - 14
Date:	2015
Publisher:	ELSEVIER SCIENCE BV
Place of Publication:	AMSTERDAM
ISSN:	1872-6372
Language:	English
Faculty:	Unspecified
Divisions:	Unspecified
Subjects:	no entry
Uncontrolled Keywords:	Keywords Language VOLATILITY SPILLOVERS; DEBT CRISIS; EUROZONE; MODELS; BREAKS; RISK Multiple languages Business, Finance; Economics Multiple languages
URI:	http://kups.ub.uni-koeln.de/id/eprint/39166