Bitte verwenden Sie diesen Link, um diese Publikation zu zitieren, oder auf sie als Internetquelle zu verweisen: https://hdl.handle.net/10419/314070 
Erscheinungsjahr: 
2019
Quellenangabe: 
[Journal:] Journal of Applied Economics [ISSN:] 1667-6726 [Volume:] 22 [Issue:] 1 [Year:] 2019 [Pages:] 484-503
Verlag: 
Taylor & Francis, Abingdon
Zusammenfassung: 
This paper investigates the effect of European monetary policies on Eurozone countries' sovereign risks. We control for interdependencies across individual variables within and across countries using a global VAR specification weighting transmission by their fiscal position. We find evidence of positive correlation between sovereign bond CDS and risk aversion for almost all countries in the Eurozone. The effects are larger after the 2012 Greek debt crisis. When the ECB increases its refinancing rate or there is a decline in money aggregates (i.e., M3), we observe an increase in sovereign bonds' risk of all countries (except Greece). In contrast, monetary policy tightening shocks have the opposite impact on Greece due to a differentiation effect.
Schlagwörter: 
CDS
Global VAR
sovereign risk in the Eurozone
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