Znanstveno-raziskovalni seminar
Raziskovalni center Ekonomske fakultete je organiziral znanstveno – raziskovalni seminar, ki je potekal v sredo, 4. marca 2014 na Ekonomski fakulteti v Ljubljani.
Predstavljen je bil članek:
“Spillovers during Euro Area Sovereign Debt Crisis: a Network Analysis with Absolute Magnitude Restrictions”
avtor: Srečko Zimic, European University Institute, Firence, Italija
“We study connectedness in European and US sovereign debt markets and find it declined steadily between 2009 and 2012, indicating increased financial fragmentation. Shocks to the Greek bond market in 2010 explain 20-30% of the variance of sovereign yields in stressed countries, while in 2011-2012 Italy (not Spain) was a key source of systemic risk. A new method that allows us to identify orthogonal country specific shocks in a panel of countries and employes restrictions on the relative size of the contemporaneous impact effect is used to derive the conclusions.”
Image gallery:
