EconPapers    
Economics at your fingertips  
 

Expectations and Systemic Risk in EMU Government Bond Spreads

Paolo Canofari (), Giancarlo Marini and Giovanni Piersanti ()

No 2014/1, SEP Working Papers from LUISS School of European Political Economy

Abstract: This paper explores the determinants of 10-years sovereign bond spreads over the German Bund benchmark in the Euro Zone from 2000 to 2013, relying on cross-country quarterly data panel analysis. The paper focal point is the role of contagion and euro break-up risks in widening the sovereign bond yield differentials among EU member countries. Using a novel synthetic index capable of monitoring the sustainability of currency unions, the paper finds that market expectations of a euro’s break up and contagion from Greece were fundamentals drivers of sovereign risk premia in peripheral countries.

Keywords: Monetary unions; speculative attacks; self-fulfilling expectations; multiple equilibria; shadow exchange rate; financial crisis; contagion; spreads; sovereign default risk; euro break up risk (search for similar items in EconPapers)
JEL-codes: C32 C33 E42 E44 E62 F31 F33 F41 G01 G12 H63 (search for similar items in EconPapers)
Pages: 48 pages
Date: 2014-06-01
New Economics Papers: this item is included in nep-mac
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (3) Track citations by RSS feed

Downloads: (external link)
http://sep.luiss.it/sites/sep.luiss.it/files/01%20Canofari%20et%20al-SEP.pdf Full text (application/pdf)

Related works:
Journal Article: Expectations and systemic risk in EMU government bond spreads (2015) Downloads
Working Paper: Expectations and systemic risk in EMU government bond spreads (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:ris:sepewp:2014_001

Access Statistics for this paper

More papers in SEP Working Papers from LUISS School of European Political Economy Via di Villa Emiliani, 14, 00197 Rome, Italy. Contact information at EDIRC.
Bibliographic data for series maintained by Layla Tarar ( this e-mail address is bad, please contact ).

 
Page updated 2021-04-18
Handle: RePEc:ris:sepewp:2014_001