Spread the News : the Impact of News on the European Sovereign Bond Markets during the Crisis

@inproceedings{Beetsma2012SpreadTN,
  title={Spread the News : the Impact of News on the European Sovereign Bond Markets during the Crisis},
  author={Roel M. Beetsma and M. Klaassen Giuliodori and Frank de Jong and Daniel Widijanto},
  year={2012}
}
We investigate how “news” affected domestic interest spreads vis-à-vis Germany and how it propagated to other countries during the recent crisis period, thereby distinguishing between the so-called GIIPS countries and other European countries. We make original use of the Eurointelligence newsflash to construct news variables based on the amount of news that is released on a country on a given date. We find that more news on average raises the domestic interest spread of GIIPS countries since… CONTINUE READING

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