Abstract
This study explores the role of newswire messages during the European debt crisis. It quantifies how this news metric, revealed by statements recorded by newspapers articles, affects CDS spillovers across five European countries with sovereign debt problems and strict bail-out programs, i.e. Greece, Ireland, Italy, Portugal, and Spain with daily data spanning the period 2009–2012. Using panel ARDL and asymmetric conditional volatility modeling methods, the empirical findings document that the news variable generates significant spillover effects across the underlined CDS markets. These findings cast a cloudy doubt on the effectiveness of economic modeling on which CDS spreads are based.
Original language | English |
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Pages (from-to) | 50-59 |
Number of pages | 9 |
Journal | International Review of Financial Analysis |
Volume | 47 |
Early online date | 30 Jun 2016 |
DOIs | |
Publication status | Published - Oct 2016 |
Keywords
- News-wire messages
- CDS spreads
- European sovereign debt stressful countries
- Spillover index