Contagion in the Euro Area Sovereign Bond Market

Social Sciences

Umberto Muratori¹ 

[1] Inter-American Development Bank, 1300 New York Avenue, Washington, DC 20577, USA; E-Mail

关键词: sovereign debt crisis;    contagion effect;    panel spatial regression;   

DOI  :  10.3390/socsci4010066

来源: mdpi

【 摘 要 】

In the last half-decade the European Monetary Union (EMU) has experienced a growing financial instability culminating with an extended sovereign debt crisis that has hit mostly the peripheral countries. Besides weak macroeconomic fundamentals, contagion phenomena in the government bond market damaged the countries more exposed to the financial stress. In this paper, the author investigates the issue of contagion applying to the financial field an innovative econometric technique, i.e., panel spatial regression. The paper documents: (i) the presence of contagion, in particular among peripheral countries; (ii) the changes in the magnitude of contagion in the different phases of the debt crisis; and (iii) the relevance of policy interventions in reducing the contagion effect in the EMU.

【 授权许可】

CC BY   
© 2014 by the authors; licensee MDPI, Basel, Switzerland.