Are all sovereigns equal? A test of the common determination of sovereign spreads in the euro area

Heather Gibson, Stephen Hall and George Tavlas

Empirical Economics, 2015, vol. 48, issue 3, 939-949

Abstract: With the outbreak of the Greek financial crisis in late 2009, spreads on Greek (and other) sovereigns reached unprecedented levels. Using a panel data of euro-area countries, we test whether the markets treated all euro-area countries in an equal manner over the period 1998:m1 to 2012:m6. An F test of the pooling assumptions suggests that Greece, Ireland, and Portugal were not part of the overall pool. In a separate test on the individual coefficients we find that the coefficients on these three countries moved in a similar direction away from the pool, suggesting that markets treated these three countries more acutely than the rest of the pool. Copyright Springer-Verlag Berlin Heidelberg 2015

Keywords: Euro area financial crisis; Sovereign spreads; Panel data tests; C33; G12; E63 (search for similar items in EconPapers)
Date: 2015
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Working Paper: Are All Sovereigns Equal? A Test of the Common Determination of Sovereign Spreads in the Euro Area (2014)
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DOI: 10.1007/s00181-014-0825-7

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