Measuring spillover effects in Euro area financial markets: a disaggregate approach

2015 ◽  
Vol 49 (4) ◽  
pp. 1367-1400 ◽  
Author(s):  
Dimitrios P. Louzis
Keyword(s):  
Financial Markets ◽  
Euro Area ◽  
Spillover Effects

scholarly journals The euro area's common default risk: Evidence on the Commission's impact on European fiscal affairs

2011 ◽  
Vol 12 (4) ◽  
pp. 507-528 ◽  
Author(s):  
Roman Goldbach ◽  
Christian Fahrholz
Keyword(s):  
Financial Markets ◽  
Euro Area ◽  
Risk Premium ◽  
Default Risk ◽  
Decisive Role ◽  
Fiscal Institutions ◽  
Growth Pact ◽  
Daily Data ◽  
Political Events ◽  
The Stability

Sovereign creditworthiness within the euro area hinges upon the credibility of the Stability and Growth Pact (SGP). We analyse whether political events that worsen the SGP's credibility result in a shared default risk premium for all euro members, therefore leading to a joint deterioration of creditworthiness. We especially examine the decisions and statements of the Commission and the Council of Economic and Finance Ministers. Analysing daily data through the 1999–2005 period with an ARMA-GARCH model, we find the Commission plays a decisive role in affecting investor evaluations, where its credibility-strengthening decisions decrease volatility and statements signalling a weakening of fiscal credibility spark uncertainty on financial markets. Our results stress the importance of creating credible fiscal institutions that preserve sovereign creditworthiness within the euro area.

scholarly journals Monetary Policy Surprises over Time

2018 ◽  
Vol 08 (01) ◽  
pp. 1840002 ◽  
Author(s):  
Marcello Pericoli ◽  
Giovanni Veronese
Keyword(s):  
Monetary Policy ◽  
Financial Markets ◽  
Interest Rates ◽  
Euro Area ◽  
Yield Curve ◽  
Sovereign Spreads ◽  
Definition Of ◽  
Term Premia ◽  
The Impact ◽  
Over Time

We document how the impact of monetary surprises on euro-area and US financial markets has changed from 1999 to date. We use a definition of monetary policy surprises, which singles out movements in the long-end of the yield curve — rather than those changing nearby futures on the central bank reference rates. By focusing only on this component of monetary policy, our results are more comparable over time. We find a hump-shaped response of the yield curve to monetary policy surprises, both in the pre-crisis period and since 2013. During the crisis years, Fed path-surprises, largely through their effect on term premia, account for the impact on interest rates, which is found to be increasing in tenor. In the euro area, the path-surprises reflect the shifts in sovereign spreads, and have a large impact on the entire constellation of interest rates, exchange rates and equity markets.

scholarly journals Volatility Similarity and Spillover Effects in G20 Stock Market Comovements: An ICA-Based ARMA-APARCH-M Approach

Complexity ◽  
2020 ◽  
Vol 2020 ◽  
pp. 1-18
Author(s):  
Shanglei Chai ◽  
Zhen Zhang ◽  
Mo Du ◽  
Lei Jiang
Keyword(s):  
Time Series ◽  
Stock Market ◽  
Financial Markets ◽  
Stock Markets ◽  
Time Series Data ◽  
Multivariate Time Series ◽  
Spillover Effects ◽  
Series Data ◽  
Dominant Source ◽  
Financial Internationalization

Financial internationalization leads to similar fluctuations and spillover effects in financial markets around the world, resulting in cross-border financial risks. This study examines comovements across G20 international stock markets while considering the volatility similarity and spillover effects. We provide a new approach using an ICA- (independent component analysis-) based ARMA-APARCH-M model to shed light on whether there are spillover effects among G20 stock markets with similar dynamics. Specifically, we first identify which G20 stock markets have similar volatility features using a fuzzy C-means time series clustering method and then investigate the dominant source of volatility spillovers using the ICA-based ARMA-APARCH-M model. The evidence has shown that the ICA method can more accurately capture market comovements with nonnormal distributions of the financial time series data by transforming the multivariate time series into statistically independent components (ICs). Our findings indicate that the G20 stock markets are clustered into three categories according to volatility similarity. There are spillover effects in stock market comovements of each group and the dominant source can be identified. This study has important implications for investors in international financial markets and for policymakers in G20 countries.

scholarly journals Has the Grexit news affected euro area financial markets?

2019 ◽  
Vol 49 ◽  
pp. 71-84 ◽  
Author(s):  
Wildmer Daniel Gregori ◽  
Agnese Sacchi
Keyword(s):  
Financial Markets ◽  
Euro Area

At a Glance… The World Economy

2014 ◽  
Vol 229 ◽  
pp. F2-F2
Keyword(s):  
Monetary Policy ◽  
Financial Markets ◽  
Euro Area ◽  
World Economy ◽  
Financial System ◽  
List Type ◽  
Real Activity ◽  
The World

Following growth of 3.1 per cent in 2013, the world economy will grow by 3.5 per cent in 2014 and 3.7 per cent in 2015.The pace of recovery remains slow and uneven; much of the Euro Area in particular remains very depressed.Key risks include deflationary pressures in the Euro area; the Chinese financial system; and the conflicting pressures on monetary policy from very buoyant financial markets and relatively weak real activity.

scholarly journals The Effects of the Global Financial Crisis on China's Financial Market and Macroeconomy

2012 ◽  
Vol 2012 ◽  
pp. 1-6 ◽  
Author(s):  
Linyue Li ◽  
Thomas D. Willett ◽  
Nan Zhang
Keyword(s):  
Financial Crisis ◽  
Financial Markets ◽  
World Economy ◽  
Global Financial Crisis ◽  
High Growth ◽  
Spillover Effects ◽  
The United States ◽  
Global Recession ◽  
Order Of Magnitude ◽  
The Global Financial Crisis

This paper provides a brief review of the increasing importance of China in the world economy and discusses the spillover effects of the global financial crisis on China's financial markets and macroeconomy. It presents and critiques alternative ways of estimating these effects. Contrary to much popular discussion, China was hit fairly hard by the global recession generated by the financial crisis. It suffered a huge drop in exports, and these effects on the economy were only partially offset by China's huge stimulus program. While growth remained well above international averages, its drop was of the same order of magnitude as for the United States. The paper closes with a brief discussion of some of the major challenges facing China to rebalance its economy in order to sustain high growth.

Introduction: Financial Markets (Re) Segmentation in the Euro Area

2014 ◽  
Vol 56 (3) ◽  
pp. 335-336
Author(s):  
Lúcio Vinhas de Souza
Keyword(s):  
Financial Markets ◽  
Euro Area

Section III. Prospects for the European Union

2002 ◽  
Vol 181 ◽  
pp. 25-37
Keyword(s):  
European Union ◽  
Financial Markets ◽  
Euro Area ◽  
Domestic Demand ◽  
The European Union ◽  
Medium Term ◽  
Sharp Drop ◽  
External Demand ◽  
Stability Pact ◽  
Recent Developments

The outcome for growth in the Euro Area in the first quarter of 2002 was slightly weaker than our April projections. Output rose by 0.3 per cent relative to the previous quarter, following a decline of the same magnitude in the final quarter of last year. The recovery stemmed primarily from a sharp drop in imports of 0.8 per cent, rather than a pickup in domestic or external demand. The weaker outcome for the first quarter, coupled with recent developments in financial markets, dampens the outlook for the year as a whole. Industrial production rose by 0.8 per cent in March, but declined by 0.7 per cent in April and edged up by only 0.1 per cent in May, supporting our expectation that recovery will be gradual. We forecast growth of 1¼ per cent in the Euro Area this year, but anticipate a stronger improvement next year helped by a recovery of domestic demand. This will be supported by tax cuts in several countries, despite the fact that the Euro Area's three largest economies appear unlikely to meet their Stability Pact pledge of achieving a budget at or close to balance by 2004. We expect output in the Euro Area to grow by about 2½ per cent next year, and by about 2½ -2¾ per cent per annum throughout the medium-term.

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