Causality and contagion in EMU sovereign debt markets

Marta Gómez-Puig and Simon Sosvilla-Rivero

No 2014-03, Working Papers from Universitat de Barcelona, UB Riskcenter

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)
Pages: 33 pages
Date: 2014-02
New Economics Papers: this item is included in nep-eec, nep-fdg, nep-fmk and nep-mon
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (61)

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http://www.ub.edu/rfa/research/WP/UBriskcenterWP201403.pdf First version, 2014 (application/pdf)

Related works:
Journal Article: Causality and contagion in EMU sovereign debt markets (2014)
Working Paper: Causality and Contagion in EMU Sovereign Debt Markets (2014)
Working Paper: Causality and Contagion in EMU Sovereign Debt Markets (2014)
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Persistent link: https://EconPapers.repec.org/RePEc:bak:wpaper:201403

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