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Macro news and bond yield spreads in the euro area

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dc.contributor.authorCaporale, Guglielmo Maria
dc.contributor.authorSpagnolo, Fabio
dc.contributor.authorSpagnolo, Nicola
dc.date.accessioned2017-04-11T01:55:07Z
dc.date.available2017-04-11T01:55:07Z
dc.date.issued2017
dc.description.abstractThis paper analyses the effects of newspaper coverage of macro news on the spread between the yield on the 10-year German Bund and on sovereign bonds in eight countries belonging to the euro area (Belgium, France, Greece, Ireland, Italy, the Netherlands, Portugal and Spain) using daily data for the period 1999–2014. The econometric analysis is based on the estimation of a VAR-GARCH model. The results can be summarized as follows. Negative news have significant positive effects on yield spreads in all GIIPS (Greece, Ireland, Italy, Portugal and Spain) countries but Italy before September 2008; markets respond more to negative news, and their reaction has increased during the recent financial crisis. News volatility has a significant impact on yield spread volatility, the effects being more pronounced in the case of negative news and bigger in the most recent crisis period, especially in the GIIPS countries. Further, the conditional correlations between yield spreads and negative news increase in absolute value during the financial crisis (especially in the GIIPS countries), indicating a higher sensitivity of the former to the latter.en_AU
dc.format.mimetypeapplication/pdfen_AU
dc.identifier.issn1351-847Xen_AU
dc.identifier.urihttp://hdl.handle.net/1885/114529
dc.publisherTaylor & Francisen_AU
dc.rights© 2017 The Author(s). Published by Informa UK Limited, trading as Taylor & Francis Group This is an Open Access article distributed under the terms of the Creative Commons Attribution License (http://creativecommons.org/ licenses/by/4.0/), which permits unrestricted use, distribution, and reproduction in any medium, provided the original work is properly cited.en_AU
dc.sourceThe European Journal of Financeen_AU
dc.subjectnewspapers newsen_AU
dc.subjectVAR-GARCH modelen_AU
dc.subjectvolatility spilloversen_AU
dc.subjectyield spreadsen_AU
dc.titleMacro news and bond yield spreads in the euro areaen_AU
dc.typeJournal articleen_AU
dcterms.accessRightsOpen Accessen_AU
local.bibliographicCitation.lastpage23en_AU
local.bibliographicCitation.startpage1en_AU
local.contributor.affiliationSpagnolo, N., Centre for Applied Macroeconomic Analysis (CAMA), The Australian National Universityen_AU
local.identifier.ariespublicationu4485658xPUB2499
local.identifier.doi10.1080/1351847X.2017.1285797en_AU
local.publisher.urlhttps://www.routledge.com/en_AU
local.type.statusPublished Versionen_AU

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