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Title: Causality and Contagion in EMU Sovereign Debt Markets [WP]
Author: Gómez-Puig, Marta
Sosvilla Rivero, Simón, 1961-
Keywords: Unions monetàries
Mercat financer
Liquiditat (Economia)
Monetary unions
Financial market
Liquidity (Economics)
Issue Date: 2014
Publisher: Universitat de Barcelona. Institut de Recerca en Economia Aplicada Regional i Pública
Series/Report no: [WP E-RC14/03]
[WP E-IR14/03]
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 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.
Note: Reproducció del document publicat a:
It is part of: IREA – Working Papers, 2014, IR14/03
UB Riskcenter Working Paper Series, 2014/03
ISSN: 2014-1254
Appears in Collections:Documents de treball / Informes (Economia)
UB RISKCENTER – Working Papers Series
Documents de treball (Institut de Recerca en Economia Aplicada Regional i Pública (IREA))

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