Spread the News: How the Crisis Affected the Impact of News on the European Sovereign Bond Markets

Preprint OPEN
Beetsma, Roel; de Jong, Frank; Giuliodori, Massimo; Widijanto, Daniel;
(2012)
  • Subject: co-movement; Euro-intelligence; GIIPS; interest rate spreads; new variables; non-GIIPS; spill-overs
    • jel: jel:E62 | jel:G01 | jel:G12 | jel:G15 | jel:H61 | jel:H62

We investigate how "news" affected domestic interest spreads vis-à-vis Germany and how it propagated to other countries during the recent crisis period, thereby distinguishing between the so-called GIIPS countries and other European countries. We make original use of th... View more
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