انتقال در طول بحران بدهی در یونان

We examine the impact of news about Greece and news about a Greek bailout on bank stock prices in 2010 using data for 48 European banks. We identify the twenty days with extreme returns on Greek sovereign bonds and categorise the news events during those days into news about Greece and news about the prospects of a Greek bailout. We find that, except for Greek banks, news about Greece does not lead to abnormal returns while news about a bailout does, even for banks without any exposure to Greece or other highly indebted euro countries. This finding suggests that markets consider news about the bailout to be a signal of European governments' willingness in general to use public funds to combat the financial crisis. Sovereign bond prices of Portugal, Ireland, and Spain respond to both news about Greece and news about a Greek bailout.

The European sovereign debt crisis became evident in 2010, starting with the reporting by the European Commission on January 8th that evidence had been found of severe irregularities in the Greek Excessive Deficit Procedure notifications.1Fig. 1 shows that throughout 2010 Greek interest rates rose to levels that made fiscal policy unsustainable, and were much higher than those of other euro area countries that got into trouble later on. As a result, in May 2010 the financial problems of Greece became so severe that the euro countries agreed to provide bilateral loans for a total amount of EUR 80 billion to be disbursed over the period until June 2013. In addition, the International Monetary Fund financed EUR 30 billion under a stand-by arrangement.An important motivation to provide financial support to Greece, despite the no-bailout clause in the Maastricht Treaty, was fear of contagion (see, for instance, Constâncio, 2011). It was feared that a restructuring of Greek debt could lead to a new banking crisis in the EU as several banks, notably in France and Germany, had a high exposure to Greece. In an April 2010 interview with the German magazine Der Spiegel, the German minister of Finance, Schäuble argues: “We cannot allow the bankruptcy of a euro member state like Greece to turn into a second Lehman Brothers. […] Greece's debts are all denominated in euros, but it isn't clear who holds how much of those debts. For that reason, the consequences of a national bankruptcy would be incalculable. Greece is just as systemically important as a major bank.” In addition, policymakers were afraid that a Greek default would spillover to other highly indebted countries in the euro area. According to Cochrane (2010), however, the threat of contagion is greatly exaggerated: “we're told that a Greek default will lead to ‘contagion.’ The only thing an investor learns about Portuguese, Spanish, and Italian finances from a Greek default is whether the EU will or won't bail them out too. Any ‘contagion’ here is entirely self-inflicted. If everyone knew there wouldn't be bailouts there would be no contagion.” There is, as yet, surprisingly limited research on contagion in the current euro area debt crisis. Notable exceptions include Arezki et al. (2011), Missio and Watzka (2011), Afonso et al. (2011), and De Santis (2012). Arezki et al. (2011) examine contagion effects of sovereign rating news on European financial markets during the period 2007–2010. They find that sovereign rating downgrades have statistically and economically significant spillover effects both across countries and financial markets. Missio and Watzka (2011) use a dynamic conditional correlation model to study contagion in the euro area. Their results show that Portuguese, Spanish, Italian and Belgian yield spreads increase along with their Greek counterpart. Afonso et al. (2011) examine whether sovereign yields and CDS spreads in a given country react to rating announcements of other countries. They conclude that there is evidence of contagion, especially from lower rated countries to higher rated countries. De Santis (2012) argues that spreads on EU sovereign debt can be decomposed in three different factors, including one reflecting contagion from Greece. As pointed out by Corsetti et al. (2011), there is however much disagreement among economists about what contagion is and how it should be tested for empirically.2 For Kaminsky et al. (2003, p. 55), contagion is “an episode in which there are significant immediate effects in a number of countries following an event – that is, when the consequences are fast and furious and evolve over a matter of hours or days”. When the effect of the event is gradual, they refer to this as spillovers rather than contagion. Also in other cases one may question whether the label of ‘contagion’ is adequate. For instance, in a widely used approach, contagion is inferred by a significant rise in the correlation of asset returns in ‘crisis’ periods compared to ‘tranquil’ periods. However, a higher correlation between asset prices does not necessarily imply contagion (see, for instance, Forbes and Rigobon, 2002). If, for instance, a crisis is driven by large shocks to a common factor, the co-movement of different asset prices will increase as well (interdependence). Likewise, failures in one country may cast doubts on solvency of agents with similar asset/liability structures abroad even if there is no new information about these agents. But this is perhaps better labelled as a ‘wake-up call’: a crisis initially restricted to one country may provide new information prompting investors to reassess the vulnerability of other countries, which spreads the crisis across borders (see Goldstein et al., 2000; Bekaert et al., 2011). To identify contagion it is necessary to identify a country-specific event that affects asset prices other than the sovereign bond price of the country concerned. We adopt an event study approach reviewed by MacKinlay (1997) and used in earlier work on contagion by, for instance, Aharony and Swary (1983), Kho et al. (2000) and Brewer et al. (2003). As an innovation to this approach, we identify the events as the trading days in 2010 with the largest volatility in yields on Greek government bonds and relate those days to the ‘news’ that caused these fluctuations. As will be discussed in more detail in Section 2, this approach circumvents a major problem of event studies, which for sovereign rating changes was most recently illustrated by Michaelidis et al. (2012), namely how to identify major event days during which there is really an event that is not expected (and therefore not priced in). We classify the news reports, taken from Reuters, into two categories: news about Greek public finances, and news about the willingness (or lack thereof) of European countries to provide financial support to Greece. This way we distinguish between the impact of contagion from a potential Greek default, and the impact of the common factor of changes in the European policy stance on a potential Greek bailout. Such changes may also provide information on the governments' general (un)willingness to bailout private investors, thereby affecting banks and countries which would not be affected by contagion from an idiosyncratic change in the Greek bond price.3In the empirical analysis, we start by examining the impact of (idiosyncratic) news about Greece on bank stock prices. As pointed out by Davies and Ng (2011), there are several channels through which deteriorating sovereign creditworthiness may affect banks.4 First, increases in sovereign risk cause losses on banks' government bond holdings, thereby weakening their balance sheets. Second, a fall in the market price of Greek sovereign bonds reduces the value of the collateral that banks can use to secure wholesale funding, and can trigger margin calls from counterparties. Both effects hold, of course, for Greek banks that have a large exposure to the Greek government, but potentially also for banks outside Greece which hold significant quantities of Greek debt. Third, deteriorating creditworthiness of Greece may reduce the value of government guarantees to Greek banks, be they explicit or perceived. Finally, sovereign downgrades often flow through to lower ratings for domestic banks because banks are more likely than other sectors to be affected by sovereign distress. Next, we examine the impact of news on the bailout of Greece on bank stock prices. News about European governments' (un)willingness to bailout Greece can act as a common shock affecting Greece, European banks and other indebted countries. Doubts about governments' willingness to bailout Greece may lead to doubts about governments' willingness to rescue troubled banks or other countries facing financial difficulties. We therefore also analyse the impact of this news on banks exposed to other highly indebted countries in the euro area. In addition to the effect of news about Greece and a Greek bailout on banks' stock prices, we examine the effect of these news variables on bond prices of other highly indebted countries in the euro area. Worrying news about the economic situation in Greece may lead investors to reconsider the valuation of exposures to other countries facing similar problems (wake-up call), while bad news about governments' willingness to bailout Greece implies that also other highly indebted countries in the euro area may not be bailed out (common shock). Using data for 48 European banks included in the 2010 European Stress Test, our findings suggest that only news about the Greek bailout has a significant effect on bank stock prices, even on stock prices of banks without any exposure to Greece or other highly indebted euro area countries. Except for Greek banks, news about the economic situation in Greece does not lead to abnormal returns. We also find that the price of sovereign debt of Portugal, Ireland, and Spain responds to both news about Greece and news about a Greek bailout. The remainder of the paper is structured as follows. Section 2 outlines our method, while Section 3 describes the data used. Section 4 presents the estimation results and robustness analyses. The final section concludes.

Using an event study approach, we examine the impact of news about Greece and news about a Greek bailout on bank stock prices in 2010 using data for 48 European banks. We first identify the twenty days with extreme returns on Greek sovereign bonds and categorise the news events during those days into news about Greece and news about the prospects of a Greek bailout. Our findings suggest that only news about the Greek bailout has a significant effect on bank stock prices, even on stock prices of banks without any exposure to Greece or other highly indebted euro area countries. Except for Greek banks, news about the economic situation in Greece does not lead to abnormal returns in bank stock prices. These results suggest that financial markets are not very worried about widespread bank contagion from a Greek default, and consider news about the bailout to be a signal of European governments' willingness in general to use public funds to combat the financial crisis. In contrast, the price of sovereign debt of Portugal, Ireland, and Spain, responds to both news about the economic situation of Greece and news about a Greek bailout. A plausible explanation for the impact of news about Greece on the bond prices of other countries is that there is a ‘wake-up call’: a crisis initially restricted to one country may provide new information prompting investors to reassess the vulnerability of other countries, which spreads the crisis across borders. One drawback of our analysis is that it does not explicitly distinguish between the transmission mechanisms from sovereign to bank risk that we discussed. Still, the finding that Greek banks are affected by news about Greece while banks from outside Greece are not suggests that the magnitude of banks' exposures to Greece plays an important role. While for Greek banks these exposures are generally a multiple of their capital buffers, for most other banks they are less than ten percent thereof. Even a large haircut on Greek debt would thus only have a small impact on their capitalisation. In addition, Greek banks are more dependent on (implicit) guarantees from the Greek government and are more interconnected with the Greek economy, which further increases their vulnerability to a Greek default. Our analysis focuses on news events about Greece in 2010. As we have argued, in 2010 the euro crisis really started with the problems in Greece. Greek sovereign bond prices in 2009 did not show the strong spikes that were visible in 2010 and that we have used to identify our event dates. An interesting topic for future research would be to apply our approach to other countries that experienced similar problems as Greece later on in the crisis. The current situation to some extent resembles the crisis in the European Exchange Rate Mechanism (ERM) in 1992. In both crises there is an asymmetry between the centre of European countries facing overheating, and the periphery facing stagnation and recessionary pressure. Like the current crisis, the ERM crisis was first and foremost a crisis of European cooperation. An important difference is that at that time, there was a new policy framework, a commitment device and price stability which markets deemed credible and thus resolved the crisis, namely the fully institutionalised adoption of a common currency. Currently, this common destination, something that is similar to the pattern that introduced the Euro and that could produce the leap forward towards more European cooperation, seems absent.