EconPapers    
Economics at your fingertips  
 

Causality and Contagion in EMU Sovereign Debt Markets

Marta Gómez-Puig () and Simon Sosvilla-Rivero ()

No 14-03, Working Papers from Asociación Española de Economía y Finanzas Internacionales

Abstract: This paper contributes to the literature by applying the Granger-causality approach and endogenous breakpoint test to offer an operational definition of contagion to examine European Economic and Monetary Union (EMU) countries public debt behaviour. A database of yields on 10-year government bonds issued by 11 EMU countries covering fourteen years of monetary union is used. The main results suggest that the 41 new causality patterns, which appeared for the first time in the crisis period, and the intensification of causality recorded in 70% of the cases, provide clear evidence of contagion in the aftermath of the current euro debt crisis.

Keywords: Sovereign bond yields; Granger-Causality; Contagion; Euro area. (search for similar items in EconPapers)
JEL-codes: E44 F36 G15 C52 (search for similar items in EconPapers)
Pages: 34 pages
Date: 2014-02
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (37) Track citations by RSS feed

Downloads: (external link)
http://www.aeefi.com/RePEc/pdf/defi14-03.pdf (application/pdf)

Related works:
Journal Article: Causality and contagion in EMU sovereign debt markets (2014) Downloads
Working Paper: Causality and contagion in EMU sovereign debt markets (2014) Downloads
Working Paper: Causality and Contagion in EMU Sovereign Debt Markets (2014) Downloads
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:aee:wpaper:1403

Access Statistics for this paper

More papers in Working Papers from Asociación Española de Economía y Finanzas Internacionales Contact information at EDIRC.
Bibliographic data for series maintained by Luis Miguel del Corral Cuervo ().

 
Page updated 2020-07-05
Handle: RePEc:aee:wpaper:1403