 Our currency, your problem? The global effects of the euro debt crisisEuropean Economic Review, 2015, vol. 74, issue C, 1-13 Abstract: In this paper, I look at the global effects of the euro debt crisis, using an event study approach. After identifying a number of euro crisis events in the period that goes from 2010 to 2012, I analyse their impact on equity returns, exchange rates and government bond yields in 40 non-euro area countries. The main finding of this study is that euro debt crisis events have contributed to a rise in global risk aversion accompanied by a fall in equity returns, mainly in the financial sector. Moreover, I find that the effect on bond yields is not statistically significant for the whole set of countries, but it has a significant - though small - impact on countries with a high risk rating. Finally, the paper also focuses on transmission channels by looking at how pre-determined country characteristics influence the strength and direction of the contagion effect. I find that the most consistent conduits of contagion are: (i) trade exposure to the euro area, (ii) EU membership, and (iii) whether a currency is pegged to the euro. Keywords: Euro debt crisis; Contagion; Spill-over; Global risk aversion (search for similar items in EconPapers) Downloads: (external link) Related works: Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text Persistent link: https://EconPapers.repec.org/RePEc:eee:eecrev:v:74:y:2015:i:c:p:1-13 DOI: 10.1016/j.euroecorev.2014.10.009 Access Statistics for this article European Economic Review is currently edited by T.S. Eicher, A. Imrohoroglu, E. Leeper, J. Oechssler and M. Pesendorfer More articles in European Economic Review from Elsevier |
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