Granger-causality in peripheral EMU public debt markets: A dynamic approach



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Gómez-Puig, Marta and Sosvilla-Rivero, Simón (2013) Granger-causality in peripheral EMU public debt markets: A dynamic approach. Journal of Banking and Finance, 37 (11). pp. 4627-4649. ISSN 0378-4266

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Our research aims to analyze the possible existence of Granger-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 Granger-causal relationship 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 significant increase in Granger-causality between yields on bonds issued by different countries. In the second step, we study the determinants of these episodes, analyzing the role played by different factors, paying special attention to instruments that capture the total national debt (domestic and foreign) in each country.

Item Type:Article
Uncontrolled Keywords:Sovereign bond yields; Granger-causality; Time-varying approach; Euro area; Peripheral EMU countries.
Subjects:Social sciences > Economics > World economy
Social sciences > Economics > Economic integration
Social sciences > Economics > Stock exchanges
JEL:F36, G15
ID Code:59768
Deposited On:27 Mar 2020 11:55
Last Modified:30 Mar 2020 09:55

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