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Title: Was it different the second time? An empirical analysis of contagion during the crises in Greece 2009-15
Authors: Bird, Graham
Du, Wenti
Pentecost, Eric J.
Willett, Thomas
Issue Date: 2017
Publisher: © Wiley
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.
Abstract: 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.
Description: This paper is in closed access until 10th September 2019
Version: Accepted for publication
DOI: 10.1111/twec.12553
URI: https://dspace.lboro.ac.uk/2134/27172
Publisher Link: https://doi.org/10.1111/twec.12553
ISSN: 0378-5920
Appears in Collections:Closed Access (Economics)

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