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Export Reference (APA) 
Pereira, I. P. & Lagoa, S. (2019). Flight-to-quality and contagion in the European sovereign debt crisis: The cases of Portugal and Greece. Journal of Financial Economic Policy. 11 (2), 193-217
Export Reference (IEEE) 
I. P. Pereira and S. M. Lagoa,  "Flight-to-quality and contagion in the European sovereign debt crisis: The cases of Portugal and Greece", in Journal of Financial Economic Policy, vol. 11, no. 2, pp. 193-217, 2019
Export BibTeX 
@article{pereira2019_1716033781412,
	author = "Pereira, I. P. and Lagoa, S.",
	title = "Flight-to-quality and contagion in the European sovereign debt crisis: The cases of Portugal and Greece",
	journal = "Journal of Financial Economic Policy",
	year = "2019",
	volume = "11",
	number = "2",
	doi = "10.1108/JFEP-03-2018-0048",
	pages = "193-217",
	url = "https://www.emerald.com/insight/publication/issn/1757-6385"
}
Export RIS 
TY  - JOUR
TI  - Flight-to-quality and contagion in the European sovereign debt crisis: The cases of Portugal and Greece
T2  - Journal of Financial Economic Policy
VL  - 11
IS  - 2
AU  - Pereira, I. P.
AU  - Lagoa, S.
PY  - 2019
SP  - 193-217
SN  - 1757-6385
DO  - 10.1108/JFEP-03-2018-0048
UR  - https://www.emerald.com/insight/publication/issn/1757-6385
AB  - Purpose: The purpose of this paper is to analyze the co-movements between the Portuguese, Greek, Irish and German government bond markets after the subprime crisis (2007 to 2013), with a special focus on the European sovereign debt crisis. It aims to assess the existence of contagion between the Portuguese, Greece and Irish bond markets and to explore the phenomenon of flight-to-quality from the Portuguese and Greek bond markets to the German market. Design/methodology/approach: The analysis is undertaken using a DCC-GARCH model with daily data for 10-year yield government bonds. The change in correlation from the stable periods to the crisis periods is used to identify contagion or flight-to-quality. Findings: Results suggest that there was contagion between the Greek and Portuguese markets, and to a lesser extent between the Irish and Portuguese markets. During most of the identified crisis periods, there are evident flight-to-quality flows from the Portuguese and Greek bond markets to the German market. Originality/value: This paper contributes to the literature by applying the methodology DCC-GARCH to several crisis episodes for the analysis of contagion and flight-to-quality during the European sovereign debt crisis.
ER  -