The Greek debt crisis through the lens of time series and multiscale analysis
AbstractThe paper examines how co-movements between bond markets of Greece and four other European economies (Belgium, Germany, Portugal, and the UK) change after the beginning of the Greek debt crisis in 2009. We study 10-year-bond yields through time series and multiscale analysis, so as to conclude on presence of contagion, divergence and structural breaks. Major results suggest that there is contagion to Portugal. Yet, no evidence of contagion is identified with regard to the rest of the studied markets. Moreover, there are signs of divergence between Greece and Germany, as well as between Greece and Belgium – economies that seem to have moved together before the crisis. Our study demonstrates that application of multiscale analysis reveals information that is otherwise not that obvious, thus explaining processes that took place just after the crisis.
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