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Title: Causality and Contagion in EMU Sovereign Debt Markets
Author: Gómez-Puig, Marta
Sosvilla Rivero, Simón, 1961-
Keywords: Unions monetàries
Mercat financer
Liquiditat (Economia)
Monetary unions
Financial market
Liquidity (Economics)
Issue Date: Sep-2014
Publisher: Elsevier
Abstract: This paper contributes to the literature by applying the Granger-causality approach and endogenous breakpoint test to offer an operational definition of contagion to examine European Economic and Monetary Union (EMU) countries public debt behavior. 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.
Note: Versió postprint del document publicat a:
It is part of: International Review of Economics & Finance, 2014, vol. 33, num. September, p. 12-27
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ISSN: 1059-0560
Appears in Collections:Articles publicats en revistes (Economia)

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