The European Sovereign Debt Crisis and Its Impacts on Financial Markets

ISBN-13: 9780815350743 / Angielski / Miękka / 2017

Japan) Go (Kyoto University Tamakoshi; Japan) Shigeyuki (Kobe University Hamori

Opis

This book focuses on European banks and analyzes many different aspects of a debt crisis. It covers the cause and the various implications that results from it, allowing a deeper understanding of the effect to enable one to formulate prevention measures and diversification strategies.

Spis treści

Introduction  Part I:How were dynamic correlations among financial markets changed by the crisis? 1. Co-movements among stock markets of European financial institutions  2. Co-movements among GIIPS national stock indices  3. Co-movements among European exchange rates  Part II:How were causalities among financial markets altered by the crisis?  4. The causality between Greek sovereign bond yields and southern European banking sector equity returns  5. Causality between the US dollar and the euro LIBOR-OIS spreads  6. Causality between the Euro and Greek sovereign CDS spreads  Part III:When did structural changes owing to the crisis occur in financial markets?  7. Structural breaks in the volatility of the Greek sovereign bond index  8. Structural breaks in spillovers among banking stock indices in the EMU  9. Structural breaks in the relationship between the Eonia and Euribor rates in the interbank money market