Debt Contagion in Europe: A Panel-VAR Analysis
The European sovereign-debt crisis began in Greece when the government announced in December 2009 that its debt reached 121% of GDP (or 300 billion euros) and its 2009 budget deficit was 12.7% of GDP - four times the level allowed by the Maastricht Treaty. The Greek crisis soon spread to other Economic and Monetary Union (EMU) countries, notably Ireland, Portugal, Spain and Italy. Using quarterly data for the 2000-2011 period, we implement a Panel-Vector Autoregressive (PVAR) model for 11 EMU countries to examine the extent to which a rise in a country’s bond-yield spread or debt–to-GDP ratio affects another EMU countries’ fiscal and macroeconomic outcomes. To distinguish between interdependence and contagion among EMU countries, we compare results obtained for the pre-crisis period (2000-2007) with the crisis period (2008-2011) and control for global risk aversion.
|Date of creation:||May 2013|
|Date of revision:|
|Contact details of provider:|| Postal: |
Phone: (410) 293-6800
Fax: (410) 293-6899
Web page: http://www.usna.edu/EconDept/
More information through EDIRC
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
- Giovanni Caggiano & Luciano Greco, 2012.
"Fiscal and Financial Determinants of Eurozone Sovereign Spreads,"
"Marco Fanno" Working Papers
0148, Dipartimento di Scienze Economiche "Marco Fanno".
- Caggiano, Giovanni & Greco, Luciano, 2012. "Fiscal and financial determinants of Eurozone sovereign spreads," Economics Letters, Elsevier, vol. 117(3), pages 774-776.
- Ludvigson, Sydney, 1998.
"The Channel of Monetary Transmission to Demand: Evidence from the Market for Automobile Credit,"
Journal of Money, Credit and Banking,
Blackwell Publishing, vol. 30(3), pages 365-83, August.
- Sydney Ludvigson, 1996. "The channel of monetary transmission to demand: evidence from the market for automobile credit," Research Paper 9625, Federal Reserve Bank of New York.
- BAI, Jushan & PERRON, Pierre, 1998.
"Computation and Analysis of Multiple Structural-Change Models,"
Cahiers de recherche
9807, Universite de Montreal, Departement de sciences economiques.
- Jushan Bai & Pierre Perron, 2003. "Computation and analysis of multiple structural change models," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 18(1), pages 1-22.
- De Santis, Roberto A., 2012. "The Euro area sovereign debt crisis: safe haven, credit rating agencies and the spread of the fever from Greece, Ireland and Portugal," Working Paper Series 1419, European Central Bank.
- Sims, Christopher A & Stock, James H & Watson, Mark W, 1990. "Inference in Linear Time Series Models with Some Unit Roots," Econometrica, Econometric Society, vol. 58(1), pages 113-44, January.
- Miguel A. Segoviano Basurto & Raphael A. Espinoza, 2011. "Probabilities of Default and the Market Price of Risk in a Distressed Economy," IMF Working Papers 11/75, International Monetary Fund.
- Mansor H. Ibrahim, 2006. "Stock prices and bank loan dynamics in a developing country: The case of Malaysia," Journal of Applied Economics, Universidad del CEMA, vol. 0, pages 71-89, May.
- Ramana Ramaswamy & Torsten SlÃ¸k, 1998. "The Real Effects of Monetary Policy in the European Union: What Are the Differences?," IMF Staff Papers, Palgrave Macmillan, vol. 45(2), pages 374-396, June.
- Ryan R. Brady & Victoria A. Greenfield, 2009.
"Competing Explanations of U.S. Defense Industry Consolidation in the 1990s and Their Policy Implications,"
Departmental Working Papers
22, United States Naval Academy Department of Economics.
- Ryan R. Brady & Victoria A. Greenfield, 2010. "COMPETING EXPLANATIONS OF U.S. DEFENSE INDUSTRY CONSOLIDATION IN THE 1990s AND THEIR POLICY IMPLICATIONS," Contemporary Economic Policy, Western Economic Association International, vol. 28(2), pages 288-306, 04.
- Richard A. Ashley & Randal J. Verbrugge, 2009. "To difference or not to difference: a Monte Carlo investigation of inference in vector autoregression models," International Journal of Data Analysis Techniques and Strategies, Inderscience Enterprises Ltd, vol. 1(3), pages 242-274.
- Arellano, Manuel, 2003. "Panel Data Econometrics," OUP Catalogue, Oxford University Press, number 9780199245291, March.
- Miguel A. Segoviano Basurto & Carlos Caceres & Vincenzo Guzzo, 2010. "Sovereign Spreads; Global Risk Aversion, Contagion or Fundamentals?," IMF Working Papers 10/120, International Monetary Fund.
- 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 388, Directorate General Economic and Financial Affairs (DG ECFIN), European Commission.
- Atsuyuki Naka & David Tufte, 1997. "Examining impulse response functions in cointegrated systems," Applied Economics, Taylor & Francis Journals, vol. 29(12), pages 1593-1603.
When requesting a correction, please mention this item's handle: RePEc:usn:usnawp:44. See general information about how to correct material in RePEc.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: ()
If references are entirely missing, you can add them using this form.