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2014-09

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Please use this identifier to cite or link to this item: https://hdl.handle.net/2445/106965

Causality and Contagion in EMU Sovereign Debt Markets

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https://doi.org/10.1016/j.iref.2014.03.003

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.

Subject

Unions monetàries, Mercat financer, Liquiditat (Economia), Crèdit

Subject (English)

Monetary unions, Financial market, Liquidity (Economics), Credit

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Articles publicats en revistes (Economia)

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GÓMEZ-PUIG, Marta and SOSVILLA RIVERO, Simón. Causality and Contagion in EMU Sovereign Debt Markets. International Review of Economics & Finance. 2014. Vol. 33, num. September, pags. 12-27. ISSN 1059-0560. [consulted: 9 of August of 2026]. Available at: https://hdl.handle.net/2445/106965

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