Modelling Sovereign Risk Transmission in Europe

GIIPS Bilateral Analysis

You can switch between country pairs using the dropdown menu

This page reports bilateral spillovers between the GIIPS sovereigns -- Greece, Ireland, Italy, Portugal and Spain

The plots focus on specific events:

  • SM: Bernanke’s subprime warning, 06-Mar-07
  • BS: JP Morgan acquires Bear Stearns, 17-Mar-08
  • LB: Failure of Lehman Brothers, 15-Sep-08
  • GR1: Greek aid request , 23-Apr-10
  • IE: Irish aid request, 22-Nov-10
  • PT: Portuguese aid request, 06-Apr-11
  • GR2: Agreement re: 2nd Greek bailout, 21-Feb-12
  • GRS: Agreement re: Greek debt-swap, 09-Mar-12
  • ES: Spanish aid request, 25-Jun-12
  • GRD: Greece misses IMF deadline, 30-Jun-2015

    The box marks the interquartile range of the spillover density and the whiskers mark the 5-95% interval

    The value of the chosen GIIPS bilateral spillover is shown as a dot