Skip to main content
Article thumbnail
Location of Repository

A reflection of history: fluctuations in Greek sovereign risk between 1914 and 1929

By Olga Christodoulaki, Haeran Cho and Piotr Fryzlewicz


Time series of daily data for Greek sovereign risk have been compiled and analysed statistically to shed light on the way that historical events, including political and institutional changes, determined the creditworthiness of the Greek government on the London stock market from the start of the Great War until the Great Crash. No a priori important dates were specified. The Asia Minor campaign and its aftermath exerted a strongly negative impact on the value of Greek sovereign debt and as a result the risk premium increased rapidly. Statistical analysis shows that investors acted upon news of fiscal performance and public debt developments. Unforeseen political changes also influenced market participants’ expectations. By contrast, institutional innovations such as the adoption of the Gold Exchange Standard and the establishment of a central bank de novo did not result in any quantitative market response. However, stabilisation and the concomitant institutional reforms were gradually factored into the market price of Greek sovereign debt traded in London and as a result the creditworthiness of the Greek government steadily improved

Topics: HC Economic History and Conditions
Publisher: Hellenic Observatory
Year: 2011
OAI identifier:
Provided by: LSE Research Online

Suggested articles


  1. (1988). Allied Credits: the State and the National Bank, 1917-1928. Athens: Cultural Centre of the National Bank of Greece.
  2. (2002). Banking Reform and the Establishment of the Bank of Greece.
  3. (2006). Bondholders gains from the annexation of Texas and implications of the US bailout. doi
  4. (1955). Chronicle of the Bank of Greece. Athens: Hellenic Printing Company.
  5. (1994). Credibility of Policies versus Credibility of Policymakers. doi
  6. (2008). Did Nordic countries recognize the gathering storm of World War II? Evidence from the bond markets. doi
  7. (1999). Domestic Policy.
  8. (1991). Efficient Capital Markets: II. doi
  9. (2006). Emerging markets and financial globalization: sovereign bond spreads in 1870-1913 and today. doi
  10. (1926). Fifty Third Annual Report of the Council of the Corporation of Foreign Bondholders for the Year doi
  11. (1999). Foreign Policy. In History of Greece in the Twentieth Century: The Beginning,
  12. (2002). German Debt Traded in London During the Second World War: A British Perspective on Hitler. doi
  13. (1991). Greece and the Inter-War Economic Crisis. doi
  14. (1955). Greece between the two wars,
  15. (1929). Greece Today: The Aftermath of the Refugee Impact. doi
  16. (2000). History as Reflected in Capital Markets: The Case of World War II. doi
  17. House of Commons (1898). Greek Law of Control. Despatch from Her Majesty's Minister at Athens Greece.
  18. (1929). I was Sent to Athens. Garden City,
  19. (2003). in colaboration with G. Kostelenos
  20. (2000). Institutions, Reforms and Country Risk: Lessons from Japanese Government Debt in the Meiji Era. doi
  21. (2009). Japan's return to gold: Turning points in the value of the yen during the 1920s. doi
  22. (1928). London: Investor's Monthly Manual Office.
  23. (2004). Markets Work in War: World War II Reflected in the Zurich and Stockholm Bond Markets. doi
  24. (2011). Multiscale and multilevel technique for consistent segmentation of nonstationary time series. Statistica Sinica (forthcoming). doi
  25. (2004). News from London: Greek Government Bonds on the London Stock Exchange,
  26. (1992). Recursive and sequential tests of the unit root and trend break hypothesis: theory and international evidence. doi
  27. (2000). Revolution, Restoration, and Debt Repudiation: The Jacobite Threat to England's Institutions and Economic Growth. doi
  28. (1951). State Insolvency and Foreign Bondholders. doi
  29. (2003). The Bond Market and the Legitimacy of Vichy France. doi
  30. (1904). the Corporation of Foreign Bondholders. Greek Extracts.
  31. (1993). The Greek State and the International Financial Community, 1922-1932: Demystifying the Foreign Factor.
  32. (1930). The Inflow of Foreign Capital and its Political and Economic Consequences.
  33. (1945). The League of Nations Reconstruction Schemes in the Inter-War Period. Geneva: League of Nations. doi
  34. (2000). The Market for Confederate Cotton Bonds. doi
  35. (1989). The Negotiations of the Refugee Loan of
  36. (1937). The Public Debt of Greece. Athens: Zacharopoulos.
  37. (2002). The Refugee Impact, Constants and Changes in the Greek Economy. In History of Greece in the 20th Century: The Interwar Period,
  38. (1928). The Stock Exchange Official Intelligence
  39. (1928). The Stock Exchange Year-Book
  40. (1999). The Wars. In History of Greece in the Twentieth Century: The Beginning,
  41. (1996). Turning Points in the Civil War: Views from the Greenback Market. doi
  42. (2000). Turning Points in the U.S. Civil War: A British Perspective. doi
  43. (2002). Turning Points in the U.S. Civil War: Views from the Grayback Market. doi
  44. (1926). Venizelos: Society, Economy, and Politics in his Era (Eds, Veremis,
  45. (2000). World War II as reflected on capital markets. doi

To submit an update or takedown request for this paper, please submit an Update/Correction/Removal Request.