Publicação
Contagion in EU sovereign yield spreads
| dc.contributor.author | Afonso, António | |
| dc.contributor.author | Felix, Ana Catarina Ramos | |
| dc.date.accessioned | 2014-02-18T15:26:26Z | |
| dc.date.available | 2014-02-18T15:26:26Z | |
| dc.date.issued | 2014-02 | |
| dc.description.abstract | 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. | por |
| dc.description.sponsorship | UECE is supported by the Fundacão para a Ciência e a Tecnologia (Portuguese Foundation for Science and Technology) through the PEst-OE/EGE/UI0436/2011 project | por |
| dc.identifier.citation | 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 | por |
| dc.identifier.issn | 2183-1815 | |
| dc.identifier.uri | http://hdl.handle.net/10400.5/6520 | |
| dc.language.iso | eng | por |
| dc.publisher | ISEG. Departamento de Economia | por |
| dc.relation | Strategic Project - UI 436 - 2011-2012 | |
| dc.relation.ispartofseries | ISEG/DE working papers;nº 4/2014/DE/UECE | |
| dc.relation.publisherversion | https://aquila5.iseg.ulisboa.pt/aquila/getFile.do?method=getFile&fileId=442165&_request_checksum_=d4f5108f808640bca5c3f7482b07dff92ccbe6f0 | por |
| dc.subject | Sovereign yield spreads | por |
| dc.subject | Spillover effects | por |
| dc.subject | Contagion | por |
| dc.title | Contagion in EU sovereign yield spreads | por |
| dc.type | working paper | |
| dspace.entity.type | Publication | |
| oaire.awardNumber | PEst-OE/EGE/UI0436/2011 | |
| oaire.awardTitle | Strategic Project - UI 436 - 2011-2012 | |
| oaire.awardURI | info:eu-repo/grantAgreement/FCT/6817 - DCRRNI ID/PEst-OE%2FEGE%2FUI0436%2F2011/PT | |
| oaire.fundingStream | 6817 - DCRRNI ID | |
| project.funder.identifier | http://doi.org/10.13039/501100001871 | |
| project.funder.name | Fundação para a Ciência e a Tecnologia | |
| rcaap.rights | openAccess | por |
| rcaap.type | workingPaper | por |
| relation.isProjectOfPublication | 69c3bcc0-5f20-4f67-a847-85a67ee1d230 | |
| relation.isProjectOfPublication.latestForDiscovery | 69c3bcc0-5f20-4f67-a847-85a67ee1d230 |