Measuring the effect of monetary shocks on European sovereign country risk: an application of GVAR models

Autores
Temizsoy, Asena; Montes Rojas, Gabriel Victorio
Año de publicación
2019
Idioma
inglés
Tipo de recurso
artículo
Estado
versión publicada
Descripción
This paper investigates the effect of European monetary policies on Eurozone countries’ sovereign risks. We control for interdependencies across individual variables within and across countries using a global VAR specification weighting transmission by their fiscal position. We find evidence of positive correlation between sovereign bond CDS and risk aversion for almost all countries in the Eurozone. The effects are larger after the 2012 Greek debt crisis. When the ECB increases its refinancing rate or there is a decline in money aggregates (i.e., M3), we observe an increase in sovereign bonds’ risk of all countries (except Greece). In contrast, monetary policy tightening shocks have the opposite impact on Greece due to a differentiation effect.
Fil: Temizsoy, Asena. City University of London; Reino Unido
Fil: Montes Rojas, Gabriel Victorio. Consejo Nacional de Investigaciones Científicas y Técnicas. Oficina de Coordinación Administrativa Saavedra 15. Instituto Interdisciplinario de Economía Política de Buenos Aires. Universidad de Buenos Aires. Facultad de Ciencias Económicas. Instituto Interdisciplinario de Economía Política de Buenos Aires; Argentina
Materia
CDS
GLOBAL VAR
SOVEREIGN RISK IN THE EUROZONE
Nivel de accesibilidad
acceso abierto
Condiciones de uso
https://creativecommons.org/licenses/by-nc-sa/2.5/ar/
Repositorio
CONICET Digital (CONICET)
Institución
Consejo Nacional de Investigaciones Científicas y Técnicas
OAI Identificador
oai:ri.conicet.gov.ar:11336/119575
Acceder
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network_name_str CONICET Digital (CONICET)
spelling Measuring the effect of monetary shocks on European sovereign country risk: an application of GVAR modelsTemizsoy, AsenaMontes Rojas, Gabriel VictorioCDSGLOBAL VARSOVEREIGN RISK IN THE EUROZONEhttps://purl.org/becyt/ford/5.2https://purl.org/becyt/ford/5This paper investigates the effect of European monetary policies on Eurozone countries’ sovereign risks. We control for interdependencies across individual variables within and across countries using a global VAR specification weighting transmission by their fiscal position. We find evidence of positive correlation between sovereign bond CDS and risk aversion for almost all countries in the Eurozone. The effects are larger after the 2012 Greek debt crisis. When the ECB increases its refinancing rate or there is a decline in money aggregates (i.e., M3), we observe an increase in sovereign bonds’ risk of all countries (except Greece). In contrast, monetary policy tightening shocks have the opposite impact on Greece due to a differentiation effect.Fil: Temizsoy, Asena. City University of London; Reino UnidoFil: Montes Rojas, Gabriel Victorio. Consejo Nacional de Investigaciones Científicas y Técnicas. Oficina de Coordinación Administrativa Saavedra 15. Instituto Interdisciplinario de Economía Política de Buenos Aires. Universidad de Buenos Aires. Facultad de Ciencias Económicas. Instituto Interdisciplinario de Economía Política de Buenos Aires; ArgentinaCentro de Estudios Macroeconómicos de Argentina2019-01info:eu-repo/semantics/articleinfo:eu-repo/semantics/publishedVersionhttp://purl.org/coar/resource_type/c_6501info:ar-repo/semantics/articuloapplication/pdfapplication/pdfhttp://hdl.handle.net/11336/119575Temizsoy, Asena; Montes Rojas, Gabriel Victorio; Measuring the effect of monetary shocks on European sovereign country risk: an application of GVAR models; Centro de Estudios Macroeconómicos de Argentina; Journal of Applied Economics; 22; 1; 1-2019; 484-5031514-0326CONICET DigitalCONICETenginfo:eu-repo/semantics/altIdentifier/doi/10.1080/15140326.2019.1665312info:eu-repo/semantics/altIdentifier/url/https://www.tandfonline.com/doi/full/10.1080/15140326.2019.1665312info:eu-repo/semantics/openAccesshttps://creativecommons.org/licenses/by-nc-sa/2.5/ar/reponame:CONICET Digital (CONICET)instname:Consejo Nacional de Investigaciones Científicas y Técnicas2025-11-12T09:46:11Zoai:ri.conicet.gov.ar:11336/119575instacron:CONICETInstitucionalhttp://ri.conicet.gov.ar/Organismo científico-tecnológicoNo correspondehttp://ri.conicet.gov.ar/oai/requestdasensio@conicet.gov.ar; lcarlino@conicet.gov.arArgentinaNo correspondeNo correspondeNo correspondeopendoar:34982025-11-12 09:46:12.091CONICET Digital (CONICET) - Consejo Nacional de Investigaciones Científicas y Técnicasfalse
dc.title.none.fl_str_mv Measuring the effect of monetary shocks on European sovereign country risk: an application of GVAR models
title Measuring the effect of monetary shocks on European sovereign country risk: an application of GVAR models
spellingShingle Measuring the effect of monetary shocks on European sovereign country risk: an application of GVAR models
Temizsoy, Asena
CDS
GLOBAL VAR
SOVEREIGN RISK IN THE EUROZONE
title_short Measuring the effect of monetary shocks on European sovereign country risk: an application of GVAR models
title_full Measuring the effect of monetary shocks on European sovereign country risk: an application of GVAR models
title_fullStr Measuring the effect of monetary shocks on European sovereign country risk: an application of GVAR models
title_full_unstemmed Measuring the effect of monetary shocks on European sovereign country risk: an application of GVAR models
title_sort Measuring the effect of monetary shocks on European sovereign country risk: an application of GVAR models
dc.creator.none.fl_str_mv Temizsoy, Asena
Montes Rojas, Gabriel Victorio
author Temizsoy, Asena
author_facet Temizsoy, Asena
Montes Rojas, Gabriel Victorio
author_role author
author2 Montes Rojas, Gabriel Victorio
author2_role author
dc.subject.none.fl_str_mv CDS
GLOBAL VAR
SOVEREIGN RISK IN THE EUROZONE
topic CDS
GLOBAL VAR
SOVEREIGN RISK IN THE EUROZONE
purl_subject.fl_str_mv https://purl.org/becyt/ford/5.2
https://purl.org/becyt/ford/5
dc.description.none.fl_txt_mv This paper investigates the effect of European monetary policies on Eurozone countries’ sovereign risks. We control for interdependencies across individual variables within and across countries using a global VAR specification weighting transmission by their fiscal position. We find evidence of positive correlation between sovereign bond CDS and risk aversion for almost all countries in the Eurozone. The effects are larger after the 2012 Greek debt crisis. When the ECB increases its refinancing rate or there is a decline in money aggregates (i.e., M3), we observe an increase in sovereign bonds’ risk of all countries (except Greece). In contrast, monetary policy tightening shocks have the opposite impact on Greece due to a differentiation effect.
Fil: Temizsoy, Asena. City University of London; Reino Unido
Fil: Montes Rojas, Gabriel Victorio. Consejo Nacional de Investigaciones Científicas y Técnicas. Oficina de Coordinación Administrativa Saavedra 15. Instituto Interdisciplinario de Economía Política de Buenos Aires. Universidad de Buenos Aires. Facultad de Ciencias Económicas. Instituto Interdisciplinario de Economía Política de Buenos Aires; Argentina
description This paper investigates the effect of European monetary policies on Eurozone countries’ sovereign risks. We control for interdependencies across individual variables within and across countries using a global VAR specification weighting transmission by their fiscal position. We find evidence of positive correlation between sovereign bond CDS and risk aversion for almost all countries in the Eurozone. The effects are larger after the 2012 Greek debt crisis. When the ECB increases its refinancing rate or there is a decline in money aggregates (i.e., M3), we observe an increase in sovereign bonds’ risk of all countries (except Greece). In contrast, monetary policy tightening shocks have the opposite impact on Greece due to a differentiation effect.
publishDate 2019
dc.date.none.fl_str_mv 2019-01
dc.type.none.fl_str_mv info:eu-repo/semantics/article
info:eu-repo/semantics/publishedVersion
http://purl.org/coar/resource_type/c_6501
info:ar-repo/semantics/articulo
format article
status_str publishedVersion
dc.identifier.none.fl_str_mv http://hdl.handle.net/11336/119575
Temizsoy, Asena; Montes Rojas, Gabriel Victorio; Measuring the effect of monetary shocks on European sovereign country risk: an application of GVAR models; Centro de Estudios Macroeconómicos de Argentina; Journal of Applied Economics; 22; 1; 1-2019; 484-503
1514-0326
CONICET Digital
CONICET
url http://hdl.handle.net/11336/119575
identifier_str_mv Temizsoy, Asena; Montes Rojas, Gabriel Victorio; Measuring the effect of monetary shocks on European sovereign country risk: an application of GVAR models; Centro de Estudios Macroeconómicos de Argentina; Journal of Applied Economics; 22; 1; 1-2019; 484-503
1514-0326
CONICET Digital
CONICET
dc.language.none.fl_str_mv eng
language eng
dc.relation.none.fl_str_mv info:eu-repo/semantics/altIdentifier/doi/10.1080/15140326.2019.1665312
info:eu-repo/semantics/altIdentifier/url/https://www.tandfonline.com/doi/full/10.1080/15140326.2019.1665312
dc.rights.none.fl_str_mv info:eu-repo/semantics/openAccess
https://creativecommons.org/licenses/by-nc-sa/2.5/ar/
eu_rights_str_mv openAccess
rights_invalid_str_mv https://creativecommons.org/licenses/by-nc-sa/2.5/ar/
dc.format.none.fl_str_mv application/pdf
application/pdf
dc.publisher.none.fl_str_mv Centro de Estudios Macroeconómicos de Argentina
publisher.none.fl_str_mv Centro de Estudios Macroeconómicos de Argentina
dc.source.none.fl_str_mv reponame:CONICET Digital (CONICET)
instname:Consejo Nacional de Investigaciones Científicas y Técnicas
reponame_str CONICET Digital (CONICET)
collection CONICET Digital (CONICET)
instname_str Consejo Nacional de Investigaciones Científicas y Técnicas
repository.name.fl_str_mv CONICET Digital (CONICET) - Consejo Nacional de Investigaciones Científicas y Técnicas
repository.mail.fl_str_mv dasensio@conicet.gov.ar; lcarlino@conicet.gov.ar
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score 13.24909

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