Time-Series Analysis of Italy、Spain and Greece 10-years Government Bond Yield During European Debt Crisis

• Main Authors: Ren-Shyr Liou, 劉人碩
• Other Authors: 邱建良
• Format: Others
• Language: zh-TW
• Published: 2014
• Online Access: http://ndltd.ncl.edu.tw/handle/u674be

碩士 === 淡江大學 === 財務金融學系碩士班 === 102 === The study selects a clear deficit in the euro area countries, namely Italy、Spain and Greece ,examines the interrelationship among 10-year Government bond yield rate, this study defines the period from Greece facing the danger of bankruptcy and getting second aid. Using three variables GARCH model to demonstrate whether or not exists return and volatility spillover effects. The empirical results show Italy to Greece existing return spillover effect, the possible reasons include the differences in geographic and economic system. There exists volatility spillover effect between three countries, Three closely related to the debt problems of representation.