IDEAS home Printed from https://ideas.repec.org/a/bla/worlde/v40y2017i9p1718-1749.html
   My bibliography  Save this article

External Public Debt, Trade Linkages and Contagion During the Eurozone Crisis

Author

Listed:
  • Eleonora Cutrini
  • Giorgio Galeazzi

Abstract

No abstract is available for this item.

Suggested Citation

  • Eleonora Cutrini & Giorgio Galeazzi, 2017. "External Public Debt, Trade Linkages and Contagion During the Eurozone Crisis," The World Economy, Wiley Blackwell, vol. 40(9), pages 1718-1749, September.
    • Handle: RePEc:bla:worlde:v:40:y:2017:i:9:p:1718-1749
    as

    Download full text from publisher

    File URL: http://hdl.handle.net/10.1111/twec.12470
    Download Restriction: Access to full text is restricted to subscribers.
    ---><---

    As the access to this document is restricted, you may want to search for a different version of it.

    References listed on IDEAS

    as
    1. International Monetary Fund, 2010. "European Financial Linkages: A New Look At Imbalances," IMF Working Papers 2010/295, International Monetary Fund.
    2. Beirne, John & Fratzscher, Marcel, 2013. "The pricing of sovereign risk and contagion during the European sovereign debt crisis," Journal of International Money and Finance, Elsevier, vol. 34(C), pages 60-82.
    3. Costantini, Mauro & Fragetta, Matteo & Melina, Giovanni, 2014. "Determinants of sovereign bond yield spreads in the EMU: An optimal currency area perspective," European Economic Review, Elsevier, vol. 70(C), pages 337-349.
    4. Paolo Angelini & Giuseppe Grande & Fabio Panetta, 2014. "The negative feedback loop between banks and sovereigns," Questioni di Economia e Finanza (Occasional Papers) 213, Bank of Italy, Economic Research and International Relations Area.
    5. Eleonora Cutrini & Giorgio Galeazzi, 2012. "Can emerging economies decouple from the US business cycle?," Working Papers 41-2012, Macerata University, Department of Studies on Economic Development (DiSSE), revised Jul 2014.
    6. Serkan Arslanalp & Tigran Poghosyan, 2016. "Foreign Investor Flows and Sovereign Bond Yields in Advanced Economies," Journal of Banking and Financial Economics, University of Warsaw, Faculty of Management, vol. 2(6), pages 45-67, June.
    7. Gerlach, Stefan & Wolff, Guntram B. & Schulz, Alexander, 2010. "Banking and Sovereign Risk in the Euro Area," CEPR Discussion Papers 7833, C.E.P.R. Discussion Papers.
    8. Paul De Grauwe & Yuemei Ji, 2012. "Mispricing of Sovereign Risk and Macroeconomic Stability in the Eurozone," Journal of Common Market Studies, Wiley Blackwell, vol. 50(6), pages 866-880, November.
    9. David Haugh & Patrice Ollivaud & David Turner, 2009. "What Drives Sovereign Risk Premiums?: An Analysis of Recent Evidence from the Euro Area," OECD Economics Department Working Papers 718, OECD Publishing.
    10. Bayoumi, Tamim & Goldstein, Morris & Woglom, Geoffrey, 1995. "Do Credit Markets Discipline Sovereign Borrowers? Evidence from the U.S. States," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 27(4), pages 1046-1059, November.
    11. Glick, Reuven & Rose, Andrew K., 1999. "Contagion and trade: Why are currency crises regional?," Journal of International Money and Finance, Elsevier, vol. 18(4), pages 603-617, August.
    12. Schuknecht, Ludger & von Hagen, Jürgen & Bernoth, Kerstin, 2004. "Sovereign risk premia in the European government bond market," Working Paper Series 369, European Central Bank.
    13. von Hagen, Jürgen & Schuknecht, Ludger & Wolswijk, Guido, 2011. "Government bond risk premiums in the EU revisited: The impact of the financial crisis," European Journal of Political Economy, Elsevier, vol. 27(1), pages 36-43, March.
    14. Alexander Popov & Neeltje van Horen, 2013. "The impact of sovereign debt exposure on bank lending: Evidence from the European debt crisis," DNB Working Papers 382, Netherlands Central Bank, Research Department.
    15. De Grauwe, Paul & Ji, Yuemei, 2013. "Self-fulfilling crises in the Eurozone: An empirical test," Journal of International Money and Finance, Elsevier, vol. 34(C), pages 15-36.
    16. Arghyrou, Michael G. & Kontonikas, Alexandros, 2012. "The EMU sovereign-debt crisis: Fundamentals, expectations and contagion," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 22(4), pages 658-677.
    17. Francis A. Longstaff & Jun Pan & Lasse H. Pedersen & Kenneth J. Singleton, 2011. "How Sovereign Is Sovereign Credit Risk?," American Economic Journal: Macroeconomics, American Economic Association, vol. 3(2), pages 75-103, April.
    18. Daniel Gros, 2013. "Banking union with a sovereign virus," Intereconomics: Review of European Economic Policy, Springer;ZBW - Leibniz Information Centre for Economics;Centre for European Policy Studies (CEPS), vol. 48(2), pages 93-97, March.
    19. Paul De Grauwe, 2014. "The Governance of a Fragile Eurozone," World Scientific Book Chapters, in: Exchange Rates and Global Financial Policies, chapter 12, pages 297-320, World Scientific Publishing Co. Pte. Ltd..
    20. Bertrand Candelon & Franz Palm, 2010. "Banking and Debt Crises in Europe: The Dangerous Liaisons?," De Economist, Springer, vol. 158(1), pages 81-99, April.
    21. M. Hashem Pesaran, 2021. "General diagnostic tests for cross-sectional dependence in panels," Empirical Economics, Springer, vol. 60(1), pages 13-50, January.
    22. Gros, Daniel, 2013. "Banking Union with a Sovereign Virus: The self-serving regulatory treatment of sovereign debt in the euro area," CEPS Papers 7904, Centre for European Policy Studies.
    23. Albertazzi, Ugo & Ropele, Tiziano & Sene, Gabriele & Signoretti, Federico Maria, 2014. "The impact of the sovereign debt crisis on the activity of Italian banks," Journal of Banking & Finance, Elsevier, vol. 46(C), pages 387-402.
    24. Favero, Carlo A., 2013. "Modelling and forecasting government bond spreads in the euro area: A GVAR model," Journal of Econometrics, Elsevier, vol. 177(2), pages 343-356.
    25. Yetman, James, 2011. "Exporting recessions: International links and the business cycle," Economics Letters, Elsevier, vol. 110(1), pages 12-14, January.
    26. Miguel A. Segoviano & Carlos Caceres & Vincenzo Guzzo, 2010. "Sovereign Spreads: Global Risk Aversion, Contagion or Fundamentals?," IMF Working Papers 2010/120, International Monetary Fund.
    27. Gros, Daniel & Alcidi, Cinzia, 2011. "Adjustment Difficulties and Debt Overhangs in the Eurozone Periphery," CEPS Papers 5525, Centre for European Policy Studies.
    28. Morris Goldstein, 1998. "Asian Financial Crisis: Causes, Cures and Systemic Implications, The," Peterson Institute Press: All Books, Peterson Institute for International Economics, number pa55, October.
    29. Marcello Pericoli & Massimo Sbracia, 2003. "A Primer on Financial Contagion," Journal of Economic Surveys, Wiley Blackwell, vol. 17(4), pages 571-608, September.
    30. John C. Driscoll & Aart C. Kraay, 1998. "Consistent Covariance Matrix Estimation With Spatially Dependent Panel Data," The Review of Economics and Statistics, MIT Press, vol. 80(4), pages 549-560, November.
    31. Ms. Edda Zoli & Ms. Silvia Sgherri, 2009. "Euro Area Sovereign Risk During the Crisis," IMF Working Papers 2009/222, International Monetary Fund.
    32. Pietro Alessandrini & Michele Fratianni & Andrew Hughes Hallett & Andrea Filippo Presbitero, 2012. "External imbalances and financial fragility in the euro area," Mo.Fi.R. Working Papers 66, Money and Finance Research group (Mo.Fi.R.) - Univ. Politecnica Marche - Dept. Economic and Social Sciences.
    33. Raffaela Giordano & Marcello Pericoli & Pietro Tommasino, 2013. "Pure or Wake-up-Call Contagion? Another Look at the EMU Sovereign Debt Crisis," International Finance, Wiley Blackwell, vol. 16(2), pages 131-160, June.
    34. Antonio Di Cesare & Giuseppe Grande & Michele Manna & Marco Taboga, 2012. "Recent estimates of sovereign risk premia for euro-area countries," Questioni di Economia e Finanza (Occasional Papers) 128, Bank of Italy, Economic Research and International Relations Area.
    35. Favero, Carlo & Pagano, Marco & von Thadden, Ernst-Ludwig, 2010. "How Does Liquidity Affect Government Bond Yields?," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 45(1), pages 107-134, February.
    36. Carmen M. Reinhart & Kenneth S. Rogoff, 2011. "From Financial Crash to Debt Crisis," American Economic Review, American Economic Association, vol. 101(5), pages 1676-1706, August.
    37. Mr. Serkan Arslanalp & Mr. Takahiro Tsuda, 2012. "Tracking Global Demand for Advanced Economy Sovereign Debt," IMF Working Papers 2012/284, International Monetary Fund.
    38. António Afonso & Michael G. Arghyrou & Alexandros Kontonikas, 2014. "Pricing Sovereign Bond Risk In The European Monetary Union Area: An Empirical Investigation," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 19(1), pages 49-56, January.
    39. von Hagen, Jurgen & Schuknecht, Ludger & Bernoth, Kerstin, 2004. "Sovereign Risk Premia in the European Bond Market," CEPR Discussion Papers 4465, C.E.P.R. Discussion Papers.
    40. Sebastian Barnes, 2010. "Resolving and Avoiding Unsustainable Imbalances in the Euro Area," OECD Economics Department Working Papers 827, OECD Publishing.
    41. Angelini, Elisabetta Croci & Farina, Francesco, 2012. "Current account imbalances and systemic risk within a monetary union," Journal of Economic Behavior & Organization, Elsevier, vol. 83(3), pages 647-656.
    42. Gros, Daniel, 2011. "External versus Domestic Debt in the Euro Crisis," CEPS Papers 5677, Centre for European Policy Studies.
    43. Metiu, Norbert, 2012. "Sovereign risk contagion in the Eurozone," Economics Letters, Elsevier, vol. 117(1), pages 35-38.
    44. Eleonora Cutrini, 2010. "Specialization and Concentration from a Twofold Geographical Perspective: Evidence from Europe," Regional Studies, Taylor & Francis Journals, vol. 44(3), pages 315-336.
    45. Salvador Barrios & Per Iversen & Magdalena Lewandowska & Ralph Setzer, 2009. "Determinants of intra-euro area government bond spreads during the financial crisis," European Economy - Economic Papers 2008 - 2015 388, Directorate General Economic and Financial Affairs (DG ECFIN), European Commission.
    46. Riccardo De Bonis & Massimiliano Stacchini, 2013. "Does Government Debt Affect Bank Credit?," International Finance, Wiley Blackwell, vol. 16(3), pages 289-310, December.
    47. Baltagi, Badi H. & Wu, Ping X., 1999. "Unequally Spaced Panel Data Regressions With Ar(1) Disturbances," Econometric Theory, Cambridge University Press, vol. 15(6), pages 814-823, December.
    48. Attinasi, Maria Grazia & Checherita-Westphal, Cristina & Nickel, Christiane, 2009. "What explains the surge in euro area sovereign spreads during the financial crisis of 2007-09?," Working Paper Series 1131, European Central Bank.
    49. Riccardo Faini, 2006. "Fiscal policy and interest rates in Europe [‘Computing robust standard errors for within-group estimators’]," Economic Policy, CEPR, CESifo, Sciences Po;CES;MSH, vol. 21(47), pages 444-489.
    50. Ms. Florence Jaumotte & Piyaporn Sodsriwiboon, 2010. "Current Account Imbalances in the Southern Euro Area," IMF Working Papers 2010/139, International Monetary Fund.
    51. Daniel Hoechle, 2007. "Robust standard errors for panel regressions with cross-sectional dependence," Stata Journal, StataCorp LP, vol. 7(3), pages 281-312, September.
    Full references (including those not matched with items on IDEAS)

    Most related items

    These are the items that most often cite the same works as this one and are cited by the same works as this one.
    1. Eleonora Cutrini and Giorgio Galeazzi, 2014. "Contagion in the Euro crisis: capital flows and trade linkages," Working Papers 44-2014, Macerata University, Department of Studies on Economic Development (DiSSE), revised Nov 2014.
    2. Arghyrou, Michael G. & Kontonikas, Alexandros, 2012. "The EMU sovereign-debt crisis: Fundamentals, expectations and contagion," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 22(4), pages 658-677.
    3. Paolo Canofari & Giancarlo Marini & Giovanni Piersanti, 2015. "Expectations and systemic risk in EMU government bond spreads," Quantitative Finance, Taylor & Francis Journals, vol. 15(4), pages 711-724, April.
    4. Leschinski, Christian & Bertram, Philip, 2017. "Time varying contagion in EMU government bond spreads," Journal of Financial Stability, Elsevier, vol. 29(C), pages 72-91.
    5. António Afonso & Michael G. Arghyrou & Alexandros Kontonikas, 2012. "The determinants of sovereign bond yield spreads in the EMU," Working Papers 2012_14, Business School - Economics, University of Glasgow.
    6. Juodžiukynienė Greta, 2016. "The Significance of Country-Specific and Common Risk Factors for CEE Government Bond Spreads Changes," Ekonomika (Economics), Sciendo, vol. 95(1), pages 84-111, January.
    7. Elisabetta Croci Angelini & Francesco Farina & Enzo Valentini, 2016. "Contagion across Eurozone’s sovereign spreads and the Core-Periphery divide," Empirica, Springer;Austrian Institute for Economic Research;Austrian Economic Association, vol. 43(1), pages 197-213, February.
    8. Afonso, António & Arghyrou, Michael G. & Bagdatoglou, George & Kontonikas, Alexandros, 2015. "On the time-varying relationship between EMU sovereign spreads and their determinants," Economic Modelling, Elsevier, vol. 44(C), pages 363-371.
    9. Debarsy, Nicolas & Dossougoin, Cyrille & Ertur, Cem & Gnabo, Jean-Yves, 2018. "Measuring sovereign risk spillovers and assessing the role of transmission channels: A spatial econometrics approach," Journal of Economic Dynamics and Control, Elsevier, vol. 87(C), pages 21-45.
    10. Samir Kadiric, 2020. "The determinants of sovereign risk premiums in the UK and the European government bond market: The impact of Brexit," EIIW Discussion paper disbei271, Universitätsbibliothek Wuppertal, University Library.
    11. António Afonso & João Tovar Jalles, 2020. "Economic volatility and sovereign yields’ determinants: a time-varying approach," Empirical Economics, Springer, vol. 58(2), pages 427-451, February.
    12. Afonso, António & Arghyrou, Michael G. & Gadea, María Dolores & Kontonikas, Alexandros, 2018. "“Whatever it takes” to resolve the European sovereign debt crisis? Bond pricing regime switches and monetary policy effects," Journal of International Money and Finance, Elsevier, vol. 86(C), pages 1-30.
    13. Oliveira, Luís & Curto, José Dias & Nunes, João Pedro, 2012. "The determinants of sovereign credit spread changes in the Euro-zone," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 22(2), pages 278-304.
    14. Britta Niehof, 2014. "Spillover Effects in Government Bond Spreads: Evidence from a GVAR Model," MAGKS Papers on Economics 201458, Philipps-Universität Marburg, Faculty of Business Administration and Economics, Department of Economics (Volkswirtschaftliche Abteilung).
    15. de Haan, Leo & Hessel, Jeroen & van den End, Jan Willem, 2014. "Are European sovereign bonds fairly priced? The role of modelling uncertainty," Journal of International Money and Finance, Elsevier, vol. 47(C), pages 239-267.
    16. Ingo G. Bordon & Kai Daniel Schmid & Michael Schmidt, 2014. "Hypnosis Before Wake-up Call? The Revival of Sovereign Credit Risk Perception in the EMU-Crisis," IMK Working Paper 138-2014, IMK at the Hans Boeckler Foundation, Macroeconomic Policy Institute.
    17. Samir Kadiric, 2022. "The determinants of sovereign risk premiums in the UK and the European government bond market: the impact of Brexit," International Economics and Economic Policy, Springer, vol. 19(2), pages 267-298, May.
    18. Ejsing, Jacob & Lemke, Wolfgang, 2011. "The Janus-headed salvation: Sovereign and bank credit risk premia during 2008-2009," Economics Letters, Elsevier, vol. 110(1), pages 28-31, January.
    19. Schmid, Kai Daniel & Schmidt, Michael, 2012. "EMU, the changing role of public debt and the revival of sovereign credit risk perception," University of Tübingen Working Papers in Business and Economics 48, University of Tuebingen, Faculty of Economics and Social Sciences, School of Business and Economics.
    20. Luciana Barbosa & Sónia Costa, 2010. "Determinants of the sovereign bond yield spreads in the Euro Area in the context of the economic and financial crisis," Working Papers w201022, Banco de Portugal, Economics and Research Department.

    More about this item

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:bla:worlde:v:40:y:2017:i:9:p:1718-1749. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    If CitEc recognized a bibliographic reference but did not link an item in RePEc to it, you can help with this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Wiley Content Delivery (email available below). General contact details of provider: http://www.blackwellpublishing.com/journal.asp?ref=0378-5920 .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.