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Causality and contagion in peripheral EMU public debt markets: a dynamic approach


Gomez-Puig, Marta y Sosvilla Rivero, Simón Javier (2011) Causality and contagion in peripheral EMU public debt markets: a dynamic approach. [ Working Papers; nº 08, 2011, ]

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Our research aims to analyze the causal relationships in the behavior of public debt issued by peripheral member countries of the European Economic and Monetary Union (EMU), with special emphasis on the recent episodes of crisis triggered in the eurozone sovereign debt markets since 2009. With this goal in mind, we make use of a database of daily frequency of yields on 10-year government bonds issued by five EMU countries (Greece, Ireland, Italy, Portugal and Spain), covering the entire history of the EMU from its inception on 1 January 1999 until 31 December 2010. In the first step, we explore the pair-wise causal rela-tionship between yields, both for the whole sample and for changing subsamples of the data, in order to capture the possible time-varying causal relationship. This approach allows us to detect episodes of conta-gion between yields on bonds issued by different countries. In the second step, we study the determinants of these contagion episodes, analyzing the role played by different factors, paying special attention to instru-ments that capture the total national debt (domestic and foreign) in each country.

Tipo de documento:Documento de trabajo o Informe técnico
Palabras clave:Sovereign bond yields; Causality; Time-varying contagion; Euro area; Periph-eral EMU countries.
Materias:Ciencias Sociales > Unión Europea > Unión económica y monetaria europea
Ciencias Sociales > Economía > Dinero
Ciencias Sociales > Economía > Economía internacional
Ciencias Sociales > Economía > Finanzas
Ciencias Sociales > Economía > Mercados bursátiles y financieros
Título de serie o colección:Working Papers
Código ID:13756

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