The global financial crisis saw many Eurozone countries bearing excessive public debt. This led the government bond yields of some peripheral countries to rise sharply, resulting in the outbreak of the European sovereign debt crisis. The debt crisis is characterized by its immediate spread from Greece, the country of origin, to its neighbouring countries and the connection between the Eurozone banking sector and the public sector debt. Addressing these interesting features, this book sheds light on the impacts of the crisis on various financial markets in Europe.
This book is among the first to conduct a thorough empirical analysis of the European sovereign debt crisis. It analyses, using advanced econometric methodologies, why the crisis escalated so prominently, having significant impacts on a wide range of financial markets, and was not just limited to government bond markets.
The book also allows one to understand the consequences and the overall impact of such a debt crisis, enabling investors and policymakers to formulate diversification strategies, and create suitable regulatory frameworks.
Introduction Part I:How were dynamic correlations among financial markets changed by the crisis? 1. Co-movements among stock markets of European financial institutions 2. Co-movements among GIIPS national stock indices 3. Co-movements among European exchange rates Part II:How were causalities among financial markets altered by the crisis? 4. The causality between Greek sovereign bond yields and southern European banking sector equity returns 5. Causality between the US dollar and the euro LIBOR-OIS spreads 6. Causality between the Euro and Greek sovereign CDS spreads Part III:When did structural changes owing to the crisis occur in financial markets? 7. Structural breaks in the volatility of the Greek sovereign bond index 8. Structural breaks in spillovers among banking stock indices in the EMU 9. Structural breaks in the relationship between the Eonia and Euribor rates in the interbank money market