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Causality and contagion in EMU sovereign debt markets

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Gómez-Puig, Marta and 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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Official URL: http://dx.doi.org/10.1016/j.iref.2014.03.003



Abstract

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.


Item Type:Article
Uncontrolled Keywords:Sovereign bond yields; Granger-Causality; Contagion; Euro area
Subjects:Social sciences > Economics > Depressions
Social sciences > Economics > Econometrics
Social sciences > Economics > World economy
Social sciences > Economics > Public economy
JEL:E44, F36, G15, C52
ID Code:30641
Deposited On:07 Oct 2015 10:51
Last Modified:19 Dec 2018 09:59

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