Are All Sovereigns Equal? A Test of the Common Determination of Sovereign Spreads in the Euro Area
Heather Gibson (),
Stephen Hall () and
George Tavlas ()
No 14/06, Discussion Papers in Economics from Department of Economics, University of Leicester
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. In a 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.
Keywords: euro area financial crisis; sovereign spreads; panel data tests (search for similar items in EconPapers)
JEL-codes: C33 G12 E63 (search for similar items in EconPapers)
New Economics Papers: this item is included in nep-eec, nep-mac and nep-opm
References: View references in EconPapers View complete reference list from CitEc
Citations Track citations by RSS feed
Downloads: (external link)
Journal Article: Are all sovereigns equal? A test of the common determination of sovereign spreads in the euro area (2015)
This item may be available elsewhere in EconPapers: Search for items with the same title.
Export reference: BibTeX
RIS (EndNote, ProCite, RefMan)
Persistent link: https://EconPapers.repec.org/RePEc:lec:leecon:14/06
Ordering information: This working paper can be ordered from
http://www2.le.ac.uk ... ch/discussion-papers
Access Statistics for this paper
More papers in Discussion Papers in Economics from Department of Economics, University of Leicester Department of Economics University of Leicester, University Road. Leicester. LE1 7RH. UK. Contact information at EDIRC.
Bibliographic data for series maintained by Mrs. Alexandra Mazzuoccolo (). This e-mail address is bad, please contact .