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Contagion in EU sovereign yield spreads
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Orientador(es)
Resumo(s)
Since the beginning of the sovereign debt crisis in the Euro Area, a main concern for European leaders is the prevention of the possible contagion from distressed countries.
In our research, we assess if there is a spillover effect from those countries and which determinants can be considered transmission mechanisms of the sovereign debt crisis.
We use a panel of 13 EU countries (Austria, Belgium, Denmark, Finland, France, Greece, Ireland, Italy, The Netherlands, Portugal, Spain, Sweden and the United
Kingdom), covering the period Q1:2000 to Q1:2013 and we also analyse each country individually, on the basis of a SUR analysis. We find that those countries with worse macro and fiscal fundamentals are more vulnerable to contagion and are more affected by international liquidity and credit risks.
Descrição
Palavras-chave
Sovereign yield spreads Spillover effects Contagion
Contexto Educativo
Citação
Afonso, António, Ana Catarina Ramos Félix. 2014. "Contagion in EU sovereign yield spreads". Instituto Superior de Economia e Gestão. ISEG/DE working papers. Nº 4/2014/DE/UECE
Editora
ISEG. Departamento de Economia