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AMBIENTUM BIOETHICA BIOLOGIA CHEMIA DIGITALIA DRAMATICA EDUCATIO ARTIS GYMNAST. ENGINEERING EPHEMERIDES EUROPAEA GEOGRAPHIA GEOLOGIA HISTORIA HISTORIA ARTIUM INFORMATICA IURISPRUDENTIA MATHEMATICA MUSICA NEGOTIA OECONOMICA PHILOLOGIA PHILOSOPHIA PHYSICA POLITICA PSYCHOLOGIA-PAEDAGOGIA SOCIOLOGIA THEOLOGIA CATHOLICA THEOLOGIA CATHOLICA LATIN THEOLOGIA GR.-CATH. VARAD THEOLOGIA ORTHODOXA THEOLOGIA REF. TRANSYLVAN
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STUDIA OECONOMICA - Ediţia nr.3 din 2023 | |||||||
Articol: |
EUROPEAN MACROECONOMIC DYNAMICS ON FINANCIAL MARKETS AND ECONOMIC POLICY: A CROSS COUNTRY STUDY FOR SPILLOVER EFFECTS. Autori: CECILIA CIOCÎRLAN, MARIA-CRISTINA ZWAK-CANTORIU, ANDREEA STANCEA, DIMITRIE-DANIEL PLĂCINTĂ. |
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Rezumat: DOI: 10.2478/subboec-2023-0014 Published Online: 2023-12-30 Published Print: 2023-12-30 pp. 40-63 VIEW PDF FULL PDF Abstract: What is the direction and extent of the spillover effects of sovereign bond yields in the European Union and which countries are transmitters and receivers of these effects? The motivation for this research is related to the need to better understand the interconnectedness of European Union sovereign bond markets in the context of rising budget deficits and public debt, as well as recent financial and sovereign debt crises, which have highlighted the importance of bond market interdependencies. The main objective of the paper is to investigate the direction and magnitude of the spillover effects of sovereign bond yields in the European Union and to identify the states that act as transmitters and receivers of these effects. The data used in the analysis include the evolution of the bond markets of the euro area member states and non-monetary union states, to allow comparison and assessment of their interconnectivity. To analyse the interconnectedness of bond markets, methods which provide a suitable analysis framework to assess volatility propagation between countries were used. The research results highlight that most of the contagion effects are concentrated in the peripheral countries, such as Romania, Portugal, Lithuania and Ireland, and the central countries act as transmitters of these effects. JEL Classification: C01, C51, C52, C53, C54, C58, C61, C63. Keywords: interconnectivity, bond markets, European Union, spillover effects, contagion. |
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