Please use this identifier to cite or link to this item: https://hdl.handle.net/10419/314070 
Year of Publication: 
2019
Citation: 
[Journal:] Journal of Applied Economics [ISSN:] 1667-6726 [Volume:] 22 [Issue:] 1 [Year:] 2019 [Pages:] 484-503
Publisher: 
Taylor & Francis, Abingdon
Abstract: 
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.
Subjects: 
CDS
Global VAR
sovereign risk in the Eurozone
Persistent Identifier of the first edition: 
Creative Commons License: 
cc-by Logo
Document Type: 
Article

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