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Abstract(s)
Diversos estudos, com metodologias diferentes, enfoques variados têm mostrado um ponto comum: que o contágio durante a crise da zona euro, a existir, não é claramente da periferia para o centro. Os mercados tenderam a fazer repercutir as suas expectativas de default de países periféricos sobre outros países periféricos, com impactos mínimos no core da UEM.
O problema surge a dois níveis: a definição de contágio financeiro está longe de ser consensual na literatura. Ademais, as metodologias para aferir o contágio, ainda que passando maioritariamente pelo procedimento DCC-MGARCH de Engle e Sheppard (2001), tendem a ser multietápicos, não havendo nenhuma standardização sobre quais são essas outras etapas. Oliveira e Santos (2014) forneceram suporte a um procedimento trietápico, assente na possibilidade da identificação em cada momento da fonte, e diferenciando contágio de interdependência. Contudo, as possibilidades de um procedimento único, que numa etapa determinasse o mecanismo de propagação e a existência de contágio estão pouco investigadas. O presente estudo visou, com base em CDS sobre Dívida Soberana, analisar a hipótese de contágio entre países periféricos da zona euro, durante a crise de dívida soberana.Com base nas metodologias DCC-MGARCH (Engle e Shephard 2001) e procedimento trietápico (Oliveira e Santos 2014), concluiu-se que: (i) existe contágio da Espanha para a Itália; (ii) existe interdependência entre Irlanda e Portugal; (iii) existe interdependência entre Irlanda e Espanha; (iii) não existe contágio entre os restantes países.
Several studies, with different methodologies and diverse approaches have shown a common point: contagion during the eurozone crisis, if any, is clearly not from the periphery to the center. Markets have tended to reflect their default expectations from peripheral countries over other peripheral countries, with minimal impacts on the core of EMU. The problem arises on two levels: the definition of financial contagion is far from being consensual in literature. In addition, the methodologies to measure the contagion, although passing mainly by the DCC-MGARCH procedure of Engle and Sheppard (2001), tend to be multistage, with no standardization on what these other stages are. Oliveira e Santos (2014) provided support for a tri-stage procedure, based on the possibility of identification at each moment of the source, and differentiating contagion from interdependence. However, the possibilities of a single procedure, which at one stage determined the mechanism of propagation and the existence of contagion, are poorly investigated. Even with the instruments most commonly used in this type of studies: Credit Default Swaps (CDS) on Sovereign Debt. The current study aimed, based on CDS over sovereign debt, to investigates the hypothesis of contagion between the peripheric countries of euro zone in the sovereign debt crisis.Based on DCC-MGARCH methodology (Engle e Sheppard 2001) and tri-stage procedure (Oliveira e Santos 2014) it is concluded that: (i) there exist contagion from Spain to Italy; (ii) there exist interdependence between Ireland and Portugal; (iii) there exist interdependence between Ireland and Spain; (iii) doesn’t exist contagion between the other countries.
Several studies, with different methodologies and diverse approaches have shown a common point: contagion during the eurozone crisis, if any, is clearly not from the periphery to the center. Markets have tended to reflect their default expectations from peripheral countries over other peripheral countries, with minimal impacts on the core of EMU. The problem arises on two levels: the definition of financial contagion is far from being consensual in literature. In addition, the methodologies to measure the contagion, although passing mainly by the DCC-MGARCH procedure of Engle and Sheppard (2001), tend to be multistage, with no standardization on what these other stages are. Oliveira e Santos (2014) provided support for a tri-stage procedure, based on the possibility of identification at each moment of the source, and differentiating contagion from interdependence. However, the possibilities of a single procedure, which at one stage determined the mechanism of propagation and the existence of contagion, are poorly investigated. Even with the instruments most commonly used in this type of studies: Credit Default Swaps (CDS) on Sovereign Debt. The current study aimed, based on CDS over sovereign debt, to investigates the hypothesis of contagion between the peripheric countries of euro zone in the sovereign debt crisis.Based on DCC-MGARCH methodology (Engle e Sheppard 2001) and tri-stage procedure (Oliveira e Santos 2014) it is concluded that: (i) there exist contagion from Spain to Italy; (ii) there exist interdependence between Ireland and Portugal; (iii) there exist interdependence between Ireland and Spain; (iii) doesn’t exist contagion between the other countries.
Description
Keywords
Credit Default Swaps Contágio CDS Interdependência Crise subprime Crise de dívida soberana UE Dívida Volatilidade Incumprimento Spreads Basis points Crise Swaps Contagion Interdependence Subprime crisis EU sovereign debt crisis Debt Volatility Default Basis points Crisis