An Empirical Assessment of the Contagion Determinants in the Euro Area in a Period of Sovereign Debt Risk

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dc.authorid105929en_US
dc.contributor.authorAltınbaş, Hazar
dc.contributor.authorvd.
dc.date.accessioned2023-03-08T11:06:36Z
dc.date.available2023-03-08T11:06:36Z
dc.date.issued2022
dc.departmentİstanbul Beykent Üniversitesien_US
dc.description.abstractThis paper uses learning methods and optimization techniques to investigate the determinants of shock propagation in the Euro area for the period 2001–2015. First, principal component analyses are used with country bond yields to identify sub periods and country groups; second, infuencing factors for country bond yields are investigated with random forest models; lastly, shock propagation among groups are examined with impulse response functions. Models in steps two and three are improved by using simulated annealing algorithm. The empirical fndings achieved can be particularly relevant for both investors and policymakers. Shedding light on the determinants of fnancial contagion may be in fact useful for investors who can derive relevant information about countries which are less sensitive to be afected by shocks, orienting thus their investment strategies. At the same time, policymakers could draw worthwhile and preventive hedging strategies and design the most suit able crisis management policies.en_US
dc.identifier.doi10.1007/s40797-021-00147-2
dc.identifier.issn1029-8479
dc.identifier.scopus2-s2.0-85102270564en_US
dc.identifier.scopusqualityQ2en_US
dc.identifier.urihttps://doi.org/10.1007/s40797-021-00147-2
dc.identifier.wosWOS:000626479100001en_US
dc.identifier.wosqualityN/Aen_US
dc.indekslendigikaynakWeb of Scienceen_US
dc.indekslendigikaynakScopusen_US
dc.language.isoenen_US
dc.publisherSpringer Science and Business Media Deutschland GmbHen_US
dc.relation.publicationcategoryMakale - Uluslararası Hakemli Dergi - Kurum Öğretim Elemanıen_US
dc.subjectContagionen_US
dc.subjectEuro areaen_US
dc.subjectSovereign debten_US
dc.subjectTime-series analysisen_US
dc.subjectMachine learningen_US
dc.subjectOptimizationen_US
dc.titleAn Empirical Assessment of the Contagion Determinants in the Euro Area in a Period of Sovereign Debt Risken_US
dc.typeArticleen_US

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