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Please use this identifier to cite or link to this item: https://dspace.lboro.ac.uk/2134/27173

Title: Safe haven or contagion? The disparate effects of Euro-zone crises on non-Euro-zone neighbours
Authors: Bird, Graham
Du, Wenti
Pentecost, Eric J.
Willett, Thomas
Keywords: Safe haven effects
Contagion
Sovereign risk premia
Multivariate GARCH
Issue Date: 2017
Publisher: © Taylor & Francis
Citation: BIRD, G. ...et al., 2017. Safe haven or contagion? The disparate effects of Euro-zone crises on non-Euro-zone neighbours. Applied Economics, 49(59), pp. 5895-5904.
Abstract: While there have been many studies that examine contagion within the Euro-zone, this paper investigates the potential contagion from changes in the Greek sovereign risk premium over 2009-2016, as measured by the yield on 10 year government bonds, to six European countries outside of the Euro-zone all of which operated a managed float against the Euro. We find evidence of contagion to potential Euro-zone ascendants (Czech Republic, Hungary and Poland), but ‘flight to safety’ (or safe haven) effects for the United Kingdom, Sweden and Switzerland.
Description: This paper is in closed access until 24th April 2019.
Version: Accepted for publication
DOI: 10.1080/00036846.2017.1358445
URI: https://dspace.lboro.ac.uk/2134/27173
Publisher Link: https://doi.org/10.1080/00036846.2017.1358445
ISSN: 0003-6846
Appears in Collections:Closed Access (Economics)

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