Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/174129
Authors: 
Magkonis, Georgios
Tsopanakis, Andreas
Year of Publication: 
2017
Series/Report no.: 
Cardiff Economics Working Papers E2017/15
Abstract: 
This paper examines the financial stress interconnectedness among GIIPS economies and Germany. Based on market level financial stress indices, it examines the stress transmission process as well as the causal network relationships in banking sector, bond, money and stock markets. The period under investigation, 2001-2013, allows to test the effects of financial crisis of 2008 as well as the subsequent European sovereign crisis. Using two alternative techniques for connectedness analysis, our evidence suggests that the peripheral economies of Italy and Spain play a highly significant role in the stress transmission in all markets, especially in the cases of banks and equity markets. Moreover, we visualize our results using network analysis. Contrary to common wisdom, Portugal, Ireland, and mainly Greece, do not seem to have an important role in amplifying stress levels.
Subjects: 
Eurozone
stress transmission
connectedness analysis
spillovers
networks
JEL: 
C43
G15
F30
Document Type: 
Working Paper

Files in This Item:
File
Size





Items in EconStor are protected by copyright, with all rights reserved, unless otherwise indicated.