Causality and contagion in peripheral EMU public debt markets: a dynamic approach
Metadades
Mostra el registre complet de l'elementcomunitat-uji-handle:10234/25884
comunitat-uji-handle2:10234/25938
comunitat-uji-handle3:
comunitat-uji-handle4:
SEDAConsulteu el text complet
http://eprints.sim.ucm.es/13756/ |
Metadades
Títol
Causality and contagion in peripheral EMU public debt markets: a dynamic approachData de publicació
2016-04-12Resum
Our research aims to analyze the causal relationships in the behavior of public debt issued by peripheral member countries of the European Economic and Monetary Union (EMU), with special emphasis on the recent episodes ... [+]
Our research aims to analyze the causal relationships in the behavior of public debt issued by peripheral member countries of the European Economic and Monetary Union (EMU), with special emphasis on the recent episodes of crisis triggered in the eurozone sovereign debt markets since 2009. With this goal in mind, we make use of a database of daily frequency of yields on 10-year government bonds issued by five EMU countries (Greece, Ireland, Italy, Portugal and Spain), covering the entire history of the EMU from its inception on 1 January 1999 until 31 December 2010. In the first step, we explore the pair-wise causal rela-tionship between yields, both for the whole sample and for changing subsamples of the data, in order to capture the possible time-varying causal relationship. This approach allows us to detect episodes of conta-gion between yields on bonds issued by different countries. In the second step, we study the determinants of these contagion episodes, analyzing the role played by different factors, paying special attention to instru-ments that capture the total national debt (domestic and foreign) in each country. [-]
Paraules clau / Matèries
Tipus de document
info:eu-repo/semantics/workingPaperEditor
Instituto Complutense de Estudios Internacionales (ICEI)Drets d'accés
info:eu-repo/semantics/openAccess