Contágio centro-periferia

: uma análise conjunta para o mercado de Credit Default Swaps sobre dívida soberana na Zona Euro

Abstract

In this thesis we intend to study if there is contagion between countries on the Periphery of the Economic and Monetary Union (EMU) and countries in its core, during the sovereign debt crisis. We also assess if such possible contagion is propelled by the sovereign Credit Default Swaps market. In the empirical analysis, we have used a three-stage approach to test for contagion effects. The three stages are: i) a univariate GARCH model; ii) a multivariate GARCH model with the resulting conditional correlations; and iii) a reverse causality analysis. These steps allow us to detect whether there are contagion effects through the analysis of volatility and the graphic analysis of the conditional correlations, as well as refuting the mere interdependence scenario through reverse causality analysis. We conclude that there is in fact contagion at least from Greece to Germany, as the analysis between Portugal and Germany does not allow us to contest the interdependence hypothesis. Another relevant finding is that the term structure of the sovereign CDS market seems to have a certain sensitivity to the possibility of default of a sovereign entity.

Date of Award	1 Jul 2015
Original language	Portuguese
Awarding Institution	Universidade Católica Portuguesa
Supervisor	Carlos Manuel Ferreira dos Santos (Supervisor)