Universidad Complutense de Madrid
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EMU sovereign debt market crisis: Fundamentals-based or pure contagion?



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Gómez-Puig, Marta y Sosvilla-Rivero, Simón (2014) EMU sovereign debt market crisis: Fundamentals-based or pure contagion? [ Working Papers on International Economics and Finance; nº 14-08, ISSN: 1696-6376 ]

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We empirically investigate whether the transmission of the recent crisis in euro area sovereign debt markets was due to fundamentals-based or pure contagion. To do so, we examine the behaviour of EMU sovereign bond yield spreads with respect to the German bund for a sample of both central and peripheral countries from January 1999 to December 2012. First we apply a dynamic approach to analyse the evolution of the degree of Granger-causality within the 90 pairs of sovereign bond yield spreads in our sample, in order to detect episodes of significantly increased causality between them (which we associate with contagion) and episodes of significantly reduced interconnection (which we associate with immunisation). We then use an ordered logit model to assess the determinants of the occurrence of the episodes detected. Our results suggest the importance of variables proxying market sentiment and of variables proxying macrofundamentals in determining contagion and immunisation outcomes. Therefore, our findings underline the coexistence of “pure” and “fundamentals-based contagion” during the recent European debt crisis.

Tipo de documento:Documento de trabajo o Informe técnico
Palabras clave:Sovereign bond spreads; Contagion; Granger-causality; Time-varying approach; Euro area; Ordered logit model
Materias:Ciencias Sociales > Economía > Crisis económicas
Ciencias Sociales > Economía > Econometría
Ciencias Sociales > Economía > Economía internacional
Ciencias Sociales > Economía > Economía pública
JEL:C35, C53, E44, F36, G15
Título de serie o colección:Working Papers on International Economics and Finance
Código ID:30647
Depositado:29 Jun 2015 10:34
Última Modificación:19 Dic 2018 09:59

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