دانلود رایگان مقاله تمایلات رسانه ها و گسترش سرریز CDS

Abstract

This study explores the role of newswire messages during the European debt crisis. It quantifies how this news metric, revealed by statements recorded by newspapers articles, affects CDS spillovers across five European countries with sovereign debt problems and strict bail-out programs, i.e. Greece, Ireland, Italy, Portugal, and Spain with daily data spanning the period 2009–2012. Using panel ARDL and asymmetric conditional volatility modeling methods, the empirical findings document that the news variable generates significant spillover effects across the underlined CDS markets. These findings cast a cloudy doubt on the effectiveness of economic modeling on which CDS spreads are based.

4. Conclusion

This paper provides evidence that newswire messages had a signifi- cant impact on CDS spreads spillovers during the European sovereign crisis, spanning the period 2009 to 2012. While there has been much discussion and interest in the role of mass psychology or ‘animal spirits’ in the most recent crisis, empirical support for this argument had not been provided. This paper presents the first empirical evidence on the impact of such newswire messages on CDS spillovers by capturing the tone of local news across the major newspapers in five European countries that were at the center of the heat circle over that period, i.e. Greece, Ireland, Italy, Portugal, and Spain, and where three of them (i.e., Greece, Ireland and Portugal) had to yield their sovereign economic policy in the fundamentals of bail-out programs.