Do Words Matter? The Impact of Communication on the PIIGS' CDS and Bond Yield Spreads during Europe's Sovereign Debt Crisis

Büchel, Konstantin (2013). Do Words Matter? The Impact of Communication on the PIIGS' CDS and Bond Yield Spreads during Europe's Sovereign Debt Crisis. European Journal of Political Economy, 32(C), pp. 412-431. Elsevier 10.1016/j.ejpoleco.2013.08.004

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The paper aims to shed light on the role of communication in the European debt crisis. It examines the effects of public statements by ECB Governing Council members, EU officials and national representatives on the PIIGS' CDS and bond yield spreads. The focus lies on dovish statements that signal strong determination in the rescue of indebted countries, and hawkish statements that indicate limited commitment to support the PIIGS and protect its creditors. The analysis of daily data for the period between January 1, 2009 and August 12, 2011 in an EGARCH framework suggests that communication by representatives of Germany, France, and the EU as well as ECB Governing Council members had an immediate impact on both types of securities. No effects.

Item Type:

Journal Article (Original Article)

Division/Institute:

03 Faculty of Business, Economics and Social Sciences > Department of Economics

UniBE Contributor:

Büchel, Konstantin

Subjects:

300 Social sciences, sociology & anthropology > 330 Economics

ISSN:

0176-2680

Publisher:

Elsevier

Language:

English

Submitter:

Konstantin Büchel

Date Deposited:

06 Feb 2014 08:00

Last Modified:

19 Dec 2014 23:07

Publisher DOI:

10.1016/j.ejpoleco.2013.08.004

BORIS DOI:

10.7892/boris.40285

URI:

https://boris.unibe.ch/id/eprint/40285

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