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The financial connectedness between Eurozone core and periphery: a disaggregated view

Magkonis, Georgios and Tsopanakis, Andreas 2019. The financial connectedness between Eurozone core and periphery: a disaggregated view. Macroeconomic Dynamics 10.1017/S1365100518000998

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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.

Item Type: Article
Date Type: Published Online
Status: In Press
Schools: Business (Including Economics)
Subjects: H Social Sciences > HB Economic Theory
H Social Sciences > HG Finance
Publisher: Cambridge University Press (CUP)
ISSN: 1365-1005
Date of First Compliant Deposit: 12 September 2018
Date of Acceptance: 21 August 2018
Last Modified: 27 Jun 2019 17:43
URI: http://orca.cf.ac.uk/id/eprint/114807

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