Fragmentation in the European Monetary Union: Is it really over?
Bertrand Candelon,
Angelo Luisi and
Francesco Roccazzella
Additional contact information
Angelo Luisi : Université catholique de Louvain, LIDAM/LFIN, Belgium
No 2021015, LIDAM Discussion Papers LFIN from Université catholique de Louvain, Louvain Finance (LFIN)
Abstract:
Sovereign bond market fragmentation represents one of the major challenges European authorities have had to tackle since the outburst of the euro area debt crisis in 2010. By investigating the inter-country shock transmission through a new methodology that reconciles Factor and Global Vector Autoregressive models, we first show that fragmentation risk well preceded the sovereign debt crisis outburst. Most importantly, by analyzing the recent period, we document a rise in fragmentation risk in the euro area during the COVID pandemic. This rise, connected to the pressure on public debts and deficits due to the pandemic period, questions the European integration process and calls for early measures to avoid a new sovereign debt crisis.
Keywords: Euro area; Sovereign bond; Fragment (search for similar items in EconPapers)
JEL-codes: F36 F37 G12 H63 (search for similar items in EconPapers)
Pages: 49
Date: 2021-01-01
New Economics Papers: this item is included in nep-ban and nep-mon
References: View references in EconPapers View complete reference list from CitEc
Citations:
Downloads: (external link)
https://dial.uclouvain.be/pr/boreal/en/object/bore ... tastream/PDF_01/view (application/pdf)
Related works:
Journal Article: Fragmentation in the European Monetary Union: Is it really over? (2022) 
Working Paper: Fragmentation in the European Monetary Union: Is it really over? (2022)
Working Paper: Fragmentation in the European Monetary Union: Is it really over? (2021) 
This item may be available elsewhere in EconPapers: Search for items with the same title.
Export reference: BibTeX
RIS (EndNote, ProCite, RefMan)
HTML/Text
Persistent link: https://EconPapers.repec.org/RePEc:ajf:louvlf:2021015
Access Statistics for this paper
More papers in LIDAM Discussion Papers LFIN from Université catholique de Louvain, Louvain Finance (LFIN) Voie du Roman Pays 34, 1348 Louvain-la-Neuve (Belgium). Contact information at EDIRC.
Bibliographic data for series maintained by Séverine De Visscher ().