eCite Digital Repository

Information flow in times of crisis: the case of the European banking and sovereign sectors

Citation

Dungey, M and Hurn, S and Shi, S and Volkov, V, Information flow in times of crisis: the case of the European banking and sovereign sectors, Econometrics, 7, (1) Article 5. ISSN 2225-1146 (2019) [Refereed Article]


Preview
PDF
1Mb
  

Copyright Statement

Copyright 2019 The Authors. Licensed under Creative Commons Attribution 4.0 International (CC BY 4.0) https://creativecommons.org/licenses/by/4.0/

DOI: doi:10.3390/econometrics7010005

Abstract

Crises in the banking and sovereign debt sectors give rise to heightened financial fragility. Of particular concern is the development of self-fulfilling feedback loops where crisis conditions in one sector are transmitted to the other sector and back again. We use time-varying tests of Granger causality to demonstrate how empirical evidence of connectivity between the banking and sovereign sectors can be detected, and provide an application to the Greek, Irish, Italian, Portuguese and Spanish (GIIPS) countries and Germany over the period 2007 to 2016. While the results provide evidence of domestic feedback loops, the most important finding is that financial fragility is an international problem and cannot be dealt with purely on a country-by-country basis.

Item Details

Item Type:Refereed Article
Keywords:financial crises, diabolical loop, banking, sovereign debt
Research Division:Economics
Research Group:Applied Economics
Research Field:Financial Economics
Objective Division:Economic Framework
Objective Group:Macroeconomics
Objective Field:Macroeconomics not elsewhere classified
UTAS Author:Dungey, M (Professor Mardi Dungey)
UTAS Author:Volkov, V (Mr Vladimir Volkov)
ID Code:130282
Year Published:2019
Deposited By:Economics and Finance
Deposited On:2019-01-18
Last Modified:2020-01-10
Downloads:67 View Download Statistics

Repository Staff Only: item control page