Universidad Complutense de Madrid
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Causality and contagion in EMU sovereign debt markets



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Gómez-Puig, Marta y Sosvilla-Rivero, Simón (2014) Causality and contagion in EMU sovereign debt markets. International Review of Economics & Finance, 33 . pp. 12-27. ISSN 1059-0560.

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URL Oficial: http://dx.doi.org/10.1016/j.iref.2014.03.003


This paper contributes to the literature by applying the Granger-causality approach and endogenous breakpoint test to offer an operational definition of contagion to examine European Economic and Monetary Union (EMU) countries public debt behavior. A database of yields on 10-year government bonds issued by 11 EMU countries covering fourteen years of monetary union is used. The main results suggest that the 41 new causality patterns, which appeared for the first time in the crisis period, and the intensification of causality recorded in 70% of the cases provide clear evidence of contagion in the aftermath of the current euro debt crisis.

Tipo de documento:Artículo
Palabras clave:Sovereign bond yields; Granger-Causality; Contagion; Euro area
Materias:Ciencias Sociales > Economía > Crisis económicas
Ciencias Sociales > Economía > Econometría
Ciencias Sociales > Economía > Economía internacional
Ciencias Sociales > Economía > Economía pública
JEL:E44, F36, G15, C52
Código ID:30641
Depositado:07 Oct 2015 10:51
Última Modificación:19 Dic 2018 09:59

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