Sovereign debt and systemic risk in the eurozone
Alexandra Popescu and
Economic Modelling, 2017, vol. 67, issue C, 275-284
The paper analyzes the eurozone crisis through the lens of a new systemic sovereign risk measure. This measure is built on countries' budgetary constraint and the Marginal Expected Shortfall (MES) estimated through a DCC-Garch model. We use daily data on government bonds yields 10Y and quarterly macroeconomic data over the period 2001−2013. Our measure, applied to the sovereign debt crisis of the euro area, captures countries' expected financing requirements in times of crisis. The results underline the most systemically important countries and their contribution to a potential system's default. Specifically, Italy and Greece are highlighted as the most systemically important countries in crisis times.
Keywords: Eurozone; Debt crisis; Sovereign bonds; Systemic risk (search for similar items in EconPapers)
JEL-codes: G12 H63 (search for similar items in EconPapers)
References: View references in EconPapers View complete reference list from CitEc
Citations View citations in EconPapers (1) Track citations by RSS feed
Downloads: (external link)
Full text for ScienceDirect subscribers only
This item may be available elsewhere in EconPapers: Search for items with the same title.
Export reference: BibTeX
RIS (EndNote, ProCite, RefMan)
Persistent link: https://EconPapers.repec.org/RePEc:eee:ecmode:v:67:y:2017:i:c:p:275-284
Access Statistics for this article
Economic Modelling is currently edited by S. Hall and P. Pauly
More articles in Economic Modelling from Elsevier
Series data maintained by Dana Niculescu ().