بازدهی عملکرد اوراق قرضه در منطقه یورو در بدهی و بحران مالی

In this paper we examine sovereign bond yield spread (BYS) spillovers between Euro zone countries during a turbulent period encompassing both the global financial crisis and the Euro zone debt crisis. Using the VAR-based spillover index approach of Diebold and Yilmaz (2012) and impulse response analyses, we find that: (i) on average, BYS shocks tend to increase future BYS, and are related to news announcements and policy changes; (ii) BYS spillovers between Euro zone countries are highly intertwined, however, BYS shocks from the periphery have, on average, three times the destabilizing force on other countries than shocks coming from the core. (iii) The within-effect of BYS spillovers is of greater magnitude within the periphery than that within the core; (iv) The between-effect (core vs periphery) of BYS spillovers suggests directional spillovers of greater magnitude from the periphery to the Euro zone core than vice versa. (v) Finally, joint shocks in the periphery and the core reveal decoupling effects between these two groups of countries. Overall, our findings highlight the increased vulnerability of the Euro zone from the destabilizing shocks originating mostly from the Euro zone countries in the periphery and to a lesser extent from the Euro zone core.

During the recent global financial crisis, extraordinary measures were taken to prevent a collapse of the Euro zone. Because the debt crisis was accompanied by a slowdown in economic activity, many Euro zone countries faced risks to long-term sustainability. As a consequence, international markets are seeking greater sovereign risk premia; this problem being compounded by the fear of spillovers from the Euro zone periphery countries. Since little has been studied about the linkages between sovereign bond yield spreads exposures within the Euro zone during the crisis, this paper examines the directional linkages of government bond yield spreads (BYS) between Euro zone countries over the period March 3, 2007–June 18, 2012, and studies the features of BYS spillovers during the Euro zone debt crisis. Beirne and Fratzscher (2013) and Aizenman et al. (2011) examine the pricing of sovereign risk and contagion. In contrast, we focus on the dynamics of sovereign bond yield spread spillovers in the Euro zone during the current crisis employing a VAR-based spillover index approach (Diebold and Yilmaz, 2009 and Diebold and Yilmaz, 2012), and impulse response function analyses. Our findings reveal several empirical regularities: (i) on average, BYS shocks tend to increase future BYS, and are related to news announcements and policy changes. (ii) BYS spillovers between Euro zone countries predominantly from the periphery (Greece, Ireland, Italy, Portugal and Spain (GIIPS)) and to a lesser extent from the core (Austria, Belgium, France and Netherlands (ABFN)). (iii) The within-effect of BYS spillovers is of greater magnitude within the periphery than that within the core. (iv) The between-effect (core vs periphery) of BYS spillovers suggests directional spillovers of greater magnitude from the periphery to the Euro zone core than vice versa. (v) Finally, the cumulative impulse responses of joint shocks in the periphery and the core reveal decoupling effects between these two groups of countries. In summary, our findings highlight the increased vulnerability of the Euro zone from the destabilizing shocks originating from the Euro zone countries in the periphery, and to a lesser extent from the Euro zone core. The remainder of the paper is organized as follows. Section 2 presents a brief literature review of the most related studies on government bond yield spreads spillovers. Section 3 discusses the application of the spillover index approach to disentangle the intricate relationships between government bond yield spreads in the Euro zone and describes the data used. Section 4 presents the empirical findings. Section 5 summarizes the results and concludes.

This study examines the development of yield bond spread spillovers between and within the Euro zone periphery and the core since 2007, a period of escalating economic risks that led to the economic crisis of 2008, and until the mid of 2012 when the financial crisis has been transformed to a fully developed sovereign debt crisis for many EU countries. First, by employing spillover indices based on a 10-day forecast error variance decomposition, this study shows that own-country BYS spillovers explain up to 70% of the forecast error variance. Second, BYS spillovers between country pairs within the periphery and within the core are greater compared to spillovers between these two group of countries. Third, Belgium followed by Italy and Spain, is the dominant transmitter of BYS spillovers, while Greece, Portugal and Netherlands are the dominant receivers of BYS return spillovers. Fourth, and most important, 61.1% of the forecast error variance in all examined markets comes from spillovers. The time-varying net directional spillover plots reveal that Greece was a major net transmitter of volatility since the crisis erupted till the beginning of 2010, and a net receiver of BYS return spillovers thereafter. In addition, generalized impulse responses (GIR) of shocks are positive and of higher magnitude within the Euro zone core or within the periphery than between the periphery and the core. The between-group effects of impulse responses to shocks in the periphery are greater on the core than vice versa. Finally, impulse responses of joint BYS shocks in the periphery and the core reveal decoupling effects between these two groups of countries. Our empirical findings highlight the increased vulnerability of the Euro zone from the destabilizing shocks originating from the beleaguered Euro zone countries in the periphery and to a lesser extent from the Euro zone core. These findings are partly in contrast to findings of early studies that showed yield convergence among European countries before the financial crisis. Overall, the findings of our study have policy implications, because (i) they may challenge the arguments for a single currency in the examined countries, (ii) indicate the need for re-examining the role of a single currency in the new, after crisis era, and (iii) suggest a need for re-assessing the effectiveness of the EU directorate economic policies.