期刊名称：Euro Area Balance of Payments and International Investment Position Statistics
印刷版ISSN：1830-3420
电子版ISSN：1830-3439
出版年度：2014
出版社：European Central Bank
摘要：We use realized variances and covariances based on intraday data from Eurozone sovereignbond market to measure the dependence structure of eurozone sovereign yields. Our analysisfocuses on the impact of news, obtained from the Eurointelligence newsash, on thedependence structure. More news raises the volatility of interest rates of nancially distressedcountries and decreases the covariance of distressed countries' yields with Germanbond yields, suggesting a ight-to-quality e ect. Common news about the euro crisis andnews about speci c countries itself tend to raise the covariance of yields between distressedcountries, indicating potential crisis spill-over e ects. However, we do not detect spillovere ects from news about third countries to the covariance between other country pairs.Bond purchases by the ECB under its Securities Markets Programme (SMP) mitigate thenegative crisis spillovers among the distressed countries and reduce the ight-to-safety fromthe distressed countries to Germany
关键词：Eurozone; SMP; crisis; sovereign debt; realized covariances; spillovers
