Daily changes of the sovereign bond yields of southern euro area countries during the recent crisis
Daily changes of the sovereign bond yields of southern euro area countries during the recent crisis

Summary/Abstract: The aim of the paper is to identify determinants of the sovereign bond yields of 4 southern euro area countries which were most severely hit by the sovereign debt crisis, i.e. Greece, Portugal, Spain and Italy. The sample, which covers the period 2009 Q4 – 2015 Q2, is divided by the date of 26th July 2012, when the announcement of the ECB’s Outright Monetary Transactions programme took place, into two subsamples. The results of the estimation show that different factors determined the development of the yields in the countries under consideration in each subperiod. Moreover, in the first subperiod there was a contagion from Greece to the rest of the analysed countries, whereas in the second subperiod, sovereign bond markets were resistant to negative news and shocks originating in the Greek economy.

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