Sovereign debt crisis in the European Union: A minimum spanning tree approach

João Dias

Physica A: Statistical Mechanics and its Applications, 2012, vol. 391, issue 5, 2046-2055

Abstract: In the wake of the financial crisis, sovereign debt crisis has emerged and is severely affecting some countries in the European Union, threatening the viability of the euro and even the EU itself. This paper applies recent developments in econophysics, in particular the minimum spanning tree approach and the associate hierarchical tree, to analyze the asynchronization between the four most affected countries and other resilient countries in the euro area. For this purpose, daily government bond yield rates are used, covering the period from April 2007 to October 2010, thus including yield rates before, during and after the financial crises. The results show an increasing separation of the two groups of euro countries with the deepening of the government bond crisis.

Keywords: Minimum spanning tree; Sovereign debt; Government bonds; Crisis (search for similar items in EconPapers)
Date: 2012
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Citations: View citations in EconPapers (29)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:phsmap:v:391:y:2012:i:5:p:2046-2055

DOI: 10.1016/j.physa.2011.11.004

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