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Spillovers from the Euro Area Sovereign Debt Crisis: A Macroeconometric Model Based Analysis

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  • Bayoumi, Tamim
  • Vitek, Francis

Abstract

This paper analyzes past and possible future spillovers from the Euro Area Sovereign Debt Crisis, both within the Euro Area and to the rest of the world. This analysis is based on a structural macroeconometric model of the world economy, disaggregated into fifteen national economies. We find that macroeconomic and financial market spillovers have been small outside of countries with high trade or financial exposures, but that they could become large if severe financial stress were to spread beyond Greece, Ireland and Portugal.

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Bibliographic Info

Paper provided by C.E.P.R. Discussion Papers in its series CEPR Discussion Papers with number 8497.

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Date of creation: Jul 2011
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Handle: RePEc:cpr:ceprdp:8497

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Related research

Keywords: Contagion; Euro Area Sovereign Debt Crisis; Panel unobserved components model; Spillovers;

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  1. Michael G. Arghyrou & Alexandros Kontonikas, 2010. "The EMU sovereign-debt crisis: Fundamentals, expectations and contagion," Working Papers 2010_25, Business School - Economics, University of Glasgow.
  2. Gerlach, Stefan & Schulz, Alexander & Wolff, Guntram B., 2010. "Banking and Sovereign Risk in the Euro Area," CEPR Discussion Papers 7833, C.E.P.R. Discussion Papers.
  3. Klein, Paul, 2000. "Using the generalized Schur form to solve a multivariate linear rational expectations model," Journal of Economic Dynamics and Control, Elsevier, vol. 24(10), pages 1405-1423, September.
  4. Francis Vitek, 2009. "Monetary Policy Analysis and Forecasting in the World Economy," IMF Working Papers 09/238, International Monetary Fund.
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Cited by:
  1. Charlotte Christiansen, 2012. "Integration of European Bond Markets," CREATES Research Papers 2012-33, School of Economics and Management, University of Aarhus.
  2. Christian Schmieder & Tidiane Kinda & Nassim N. Taleb & Elena Loukoianova & Elie Canetti, 2012. "A New Heuristic Measure of Fragility and Tail Risks," IMF Working Papers 12/216, International Monetary Fund.
  3. Andreas A. Jobst & Li L. Ong & Christian Schmieder, 2013. "A Framework for Macroprudential Bank Solvency Stress Testing," IMF Working Papers 13/68, International Monetary Fund.

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