Time-varying contemporaneous spillovers during the European Debt Crisis

Marinela Adriana Finta*, Bart Frijns, Alireza Tourani-Rad

*Corresponding author for this work

Research output: Contribution to journalArticleAcademicpeer-review

Abstract

This paper considers contemporaneous spillover effects between Germany and four peripheral European countries that were most affected by the European Debt Crisis, and provides evidence of bidirectional spillovers among these equity markets. We document that there is asymmetry and time variation in contemporaneous spillovers. Particularly, contemporaneous return spillovers from Germany to the peripheral equity markets is higher than the other way around. We show that European Debt Crisis led to a decrease in the contemporaneous spillover effects.
Original languageEnglish
Pages (from-to)423-448
Number of pages26
JournalEmpirical Economics
Volume57
Issue number2
DOIs
Publication statusPublished - Aug 2019
Externally publishedYes

Keywords

  • Contemporaneous spillovers
  • Financial crises
  • Euro Area

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