Abstract
This chapter examines the impact of Greek economic news on European government bond, CDS, and stock markets. The impact of three categories of news is examined via the respective number of dummy variables, number of news per month, and news surprises of 2-year, 5-year, and 10-year government bonds and CDS on return, volatility, volatility jump, correlation, and correlation jump of government bonds, CDS, and stock indices of seven European countries, within a tobit regression framework. This chapter also discusses the implications of Greek economic news to policy actions. Recommendations driven by results are made to policy makers as well.
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