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Was it different the second time? An empirical analysis of contagion during the crises in Greece 2009-15

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journal contribution
posted on 27.10.2017, 13:13 by Graham Bird, Wenti Du, Eric Pentecost, Thomas Willett
Over the period between end-2009 and end-2015 Greece experienced two discernible financial crises. This article undertakes a correlation analysis of risk premia to investigate the nature and extent of contagion from these crises to other selected Euro-zone countries. A commonly expressed view is that the effects of the second crisis were more muted since the systemic risks were seen by markets as being lower. However, using a rolling correlation model, a DCC-GARCH model and a t-copula model we find that this is not the case. Broadly speaking, the contagion effects of the second crisis were at least as large as those associated with the first one.

History

School

  • Business and Economics

Department

  • Economics

Published in

The World Economy

Citation

BIRD, G. ...et al., 2017. Was it different the second time? An empirical analysis of contagion during the crises in Greece 2009-15. The World Economy, 40(12), pp. 2530-2542.

Publisher

© Wiley

Version

AM (Accepted Manuscript)

Publisher statement

This is the peer reviewed version of the following article: BIRD, G. ...et al., 2017. Was it different the second time? An empirical analysis of contagion during the crises in Greece 2009-15. The World Economy, 40(12), pp. 2530-2542, which has been published in final form at https://doi.org/10.1111/twec.12553. This article may be used for non-commercial purposes in accordance with Wiley Terms and Conditions for Use of Self-Archived Versions.

Acceptance date

01/06/2017

Publication date

2017

ISSN

0378-5920

Language

en

Exports

Loughborough Publications

Keywords

Exports