Spread the news: The impact of news on the European sovereign bond markets during the crisis

Journal of International Money and Finance

Volumn 34, Issue , 2013, Pages 83-101

  Beetsma, Roel ^a   Giuliodori, Massimo ^a   de Jong, Frank ^b   Widijanto, Daniel ^c  

^a UNIVERSITY OF AMSTERDAM   (Netherlands)

^b TILBURG UNIVERSITY   (Netherlands)

^c BNG Vermogensbeheer   (Netherlands)

Author keywords

(Non )GIIPS; Co movement; Eurointelligence; Interest rate spreads; News variables; Spill overs

Indexed keywords

EID: 84875253655     PISSN: 02615606     EISSN: None     Source Type: Journal    
DOI: 10.1016/j.jimonfin.2012.11.005     Document Type: Article

References (27)

1. Aizenman, J., Jinjarak, Y., Lee, M., Park, D., 2012. Developing Countries' Financial Vulnerability to the Euro Crisis: An Event Study of Equity and Bond Markets. NBER Working Paper Series, No. 18028.
2. Albuquerque R., Ramadorai T., Watugala S.W. Trade Credit and International Return Comovement 2011, Mimeo, Boston University and Oxford University.
3. Albuquerque R., Vega C. Economic news and international stock market co-movement. Review of Finance 2009, 13:401-465.
4. Andersen T.G., Bollerslev T., Diebold F.X., Vega C. Micro effects of macro announcements: real-time price discovery in foreign exchange. American Economic Review 2003, 93(1):38-62.
5. Andersen T.G., Bollerslev T., Diebold F.X., Vega C. Real-time price discovery in global stock, bond and foreign exchange markets. Journal of International Economics 2007, 73:251-277.
6. Ang A., Longstaff F.A. Systemic Sovereign Credit Risk: Lessons from the U.S. and Europe 2012, Available at: SSRN:, (accessed March 10). http://ssrn.com/abstract%3d2019611.
7. Baig T., Goldfajn I. Financial market contagion in the Asian crisis. IMF Staff Papers 1999, 46(2):167-195.
8. Bank for International Settlements, 2012. http://www.bis.org/statistics/consstats.htm.
9. Beber A., Brandt M.W., Kavajecz K. Flight-to-quality or flight-to-liquidity? Evidence from the euro-area bond market. Review of Financial Studies 2009, 22:925-957.
10. Bekaert G., Ehrmann M., Fratzscher M., Mehl A. Global Crises and Equity Market Contagion 2011, Columbia University and ECB, Mimeo.
11. Bergman M. Best in class: public finances in Sweden during the financial crisis. Panoeconomicus 2011, 4:431-453.
12. Bhanot K., Burns N., Hunter D.M., Williams M.R. Comovement and Contagion Among PIIGS' Sovereign Bonds: The Impact of Announcements and Risk Perceptions 2011, Available at: SSRN:. http://ssrn.com/abstract%3d1767991.
13. De Santis R.A. The Euro Area Sovereign Debt Crisis: Safe Haven, Credit Rating Agencies and the Spread of the Fever from Greece, Ireland and Portugal 2012, ECB Working Paper, No. 1419.
14. Direction of Trade Statistics, 2012. IMF. http://www.imf.org/external/data.htm.
15. Eichengreen B., Rose A.K., Wyplosz C. Contagious currency crises. Scandinavian Journal of Economics 1996, 98:463-484.
16. Eurointelligence, 2012. http://www.eurointelligence.com/archive.html.
17. Favero C., Pagano M., von Thadden E.L. How does liquidity affect government bond yields?. Journal of Financial and Quantitative Analysis 2010, 45(1):107-134.
18. Favero C., Missale A. Sovereign spreads in the eurozone: which prospects for a eurobond?. Economic Policy 2012, 27:231-273.
19. Fleming M.J., Remolona E.M. Price formation and liquidity in the U.S. treasury market: the response to public information. Journal of Finance 1999, 54:1901-1915.
20. Kallestrup R., Lando D., Murgoci A. Financial Sector Linkages and the Dynamics of Bank and Sovereign Credit Spreads 2012, Available at: SSRN:. http://dx.doi.org/10.2139/ssrn.2023635.
21. Kaminsky G.L., Schmukler S.L. What triggers market jitters? A chronicle of the Asian crisis. Journal of International Money and Finance 1999, 18:537-560.
22. Mohl P., Sondermann D. Has political communication during the crisis impacted sovereign bond spreads in the euro area?. Applied Economics Letters 2013, 20(1):48-61.
23. Ongena S., Peydró J.-L., van Horen N. Shocks Abroad, Pain at Home? Bank-firm Level Evidence on Financial Contagion during the Recent Financial Crisis 2012, Mimeo, Tilburg University, Universitat Pompeu Fabra and De Nederlandsche Bank.
24. Pericoli M., Sbracia M. A primer on financial contagion. Journal of Economic Surveys 2003, 17(4):571-608.
25. Ramey V. Identifying government spending shocks: it's all in the timing. Quarterly Journal of Economics 2011, 126(1):1-50.
26. Romer C.D., Romer D.H. The macroeconomic effects of tax changes: estimates based on a new measure of fiscal shocks. American Economic Review 2010, 100(3):763-801.
27. Van Rijckeghem C., Weder B. Sources of contagion: Is it finance or trade?. Journal of International Economics 2001, 54:293-308.