Spillovers from the Euro Area Sovereign Debt Crisis: A Macroeconometric Model Based Analysis

Tamim Bayoumi and Francis Vitek

No 8497, CEPR Discussion Papers from C.E.P.R. Discussion Papers

Abstract: This paper analyzes past and possible future spillovers from the Euro Area Sovereign Debt Crisis, both within the Euro Area and to the rest of the world. This analysis is based on a structural macroeconometric model of the world economy, disaggregated into fifteen national economies. We find that macroeconomic and financial market spillovers have been small outside of countries with high trade or financial exposures, but that they could become large if severe financial stress were to spread beyond Greece, Ireland and Portugal.

Keywords: Contagion; Euro area sovereign debt crisis; Panel unobserved components model; Spillovers (search for similar items in EconPapers)
JEL-codes: E44 F41 (search for similar items in EconPapers)
Date: 2011-07
New Economics Papers: this item is included in nep-cba, nep-eec, nep-mac and nep-opm
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Citations: View citations in EconPapers (7)

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