The Greek financial crisis: growing imbalances and sovereign spreads

Heather Gibson, Stephan G. Hall () and George Tavlas

No 11/25, Discussion Papers in Economics from Division of Economics, School of Business, University of Leicester

Abstract: We discuss the origins of the Greek financial crisis as manifested in the growing fiscal and current-account deficits since euro-area entry in 2001. We then provide an investigation of spreads on Greek relative to German long-term government debt. Using monthly data over the period 2000 to 2010, we estimate a cointegrating relationship between spreads and their long-term fundamental determinants, and compare the spreads predicted by this estimated relationship with actual spreads. We find periods of both undershooting and overshooting of spreads compared to what is predicted by the economic fundamentals.

Keywords: Greek financial crisis; sovereign spreads (search for similar items in EconPapers)
JEL-codes: E63 G12 (search for similar items in EconPapers)
Date: 2011-03
New Economics Papers: this item is included in nep-eec, nep-fmk and nep-mac
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Citations: View citations in EconPapers (20)

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Related works:
Journal Article: The Greek financial crisis: Growing imbalances and sovereign spreads (2012)
Working Paper: The Greek financial crisis: growing imbalances and sovereign spreads (2011)
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