Spillovers among sovereign debt markets: Identification through absolute magnitude restrictions
研究美国与欧洲主权收益率间的溢出效应，发现2008-2012年间金融碎片化降低了主权收益率关联性，希腊和意大利分别是2010年和2011-2012年系统性风险的主要来源。
Summary This paper studies spillovers among US and European sovereign yields. We employ absolute magnitude restrictions on the impact matrix to identify the countries that were the main sources of spillovers. Despite the large size of shocks from euro area stressed countries, connectedness among sovereign yields declined between 2008 and 2012 due to financial fragmentation, particularly between countries with more divergent business and fiscal cycles. We show that none of the sovereign yields were insulated from foreign shocks and that shocks to the Greek bond market in 2010 explained 20–30% of the variance of sovereign yields in stressed countries, while in 2011–2012 Italy (not Spain) was the source of systemic risk.