Cross-country spillovers of national financial markets and the effectiveness of ECB policies during the euro-area crisis
研究了2000年1月至2019年6月希腊、爱尔兰、意大利、葡萄牙和西班牙五国主权评级与利差的跨国溢出效应，并评估了欧洲央行政策（如德拉吉2012年讲话和2015年资产购买公告）的有效性。
Abstract We investigate spillover effects between sovereign ratings and sovereign spreads for five euro-area countries—Greece, Ireland, Italy, Portugal, and Spain—using monthly data over the period of January 2000 through June 2019. We extend previous work in two ways. First, using spatial estimation, we model and quantify the spillover effects on ratings and spreads among countries. Secondly, we assess the effectiveness of European Central Bank (ECB) policies on spreads and ratings. We find significant feedback effects among countries. Consistent with the view that forward-looking agents typically respond to credible announcements right away, our results suggest that then-ECB President Draghi’s July 2012 speech was pivotal, and was supported by the ECB’s January 2015 announcement that it would undertake asset purchases.