This study explores the role of newswire messages during the European debt crisis. It quantifies how this news metric, revealed by statements recorded by newspapers articles, affects CDS spillovers across five European countries with sovereign debt problems and strict bail-out programs, i.e. Greece, Ireland, Italy, Portugal, and Spain with daily data spanning the period 2009–2012. Using panel ARDL and asymmetric conditional volatility modeling methods, the empirical findings document that the news variable generates significant spillover effects across the underlined CDS markets. These findings cast a cloudy doubt on the effectiveness of economic modeling on which CDS spreads are based.
|Number of pages||10|
|Journal||International Review of Financial Analysis|
|Publication status||Published - 1 Oct 2016|
Bibliographical notePublisher Copyright:
© 2016 Elsevier Inc.
Copyright 2016 Elsevier B.V., All rights reserved.