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“Causality and Contagion in EMU Sovereign Debt Markets”

Listed author(s):
  • Marta Gómez-Puig

    ()

    (Faculty of Economics, University of Barcelona)

  • Simón Sosvilla-Rivero

    ()

    (Department of Quantitative Economics, Universidad Complutense de Madrid)

This paper contributes to the literature by applying the Grangercausality approach and endogenous breakpoint test to offer an operational definition of contagion to examine European Economic and Monetary Union (EMU) countries public debt behaviour. A database of yields on 10-year government bonds issued by 11 EMU countries covering fourteen years of monetary union is used. The main results suggest that the 41 new causality patterns, which appeared for the first time in the crisis period, and the intensification of causality recorded in 70% of the cases, provide clear evidence of contagion in the aftermath of the current euro debt crisis.

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File URL: http://www.ub.edu/irea/working_papers/2014/201403.pdf
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Paper provided by University of Barcelona, Research Institute of Applied Economics in its series IREA Working Papers with number 201403.

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Length: 34 pages
Date of creation: Feb 2014
Date of revision: Feb 2014
Handle: RePEc:ira:wpaper:201403
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