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Spillover effects in the Euro area

Van Hove, Pauline
(2019)

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VanHovePauline_92541600_2019.pdf
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Details

Supervisors
Luisi, Angelo ; Grégoire, Philippe
Faculty
Louvain School of Management
Degree label
Master [120] en ingénieur de gestion
Abstract
This master thesis studies the spillover effects between Portugal, Ireland, Italy, Spain, Belgium, the Netherlands, France and Austria through the sovereign bond markets. The 10-year, 5-year and 3-year sovereign bond yields are therefore analyzed during a sample period that ranges from 2002-2012. In order to identify these spillover effects, the bilateral relationship between each pair of countries is investigated through the Forbes & Rigobon (2002) method. This, in order to determine whether there has been a significant increase in the correlation coefficients between the countries during the crisis period. The results clearly confirm that contagion occurred during the crisis period of 2007-2012. The 5-year sovereign bond market shows to have been affected the most by contagion, and Ireland reveals to be the principal cause of contagion across all maturities.