The EMU sovereign-debt crisis: Fundamentals, expectations and contagion

Journal of International Financial Markets, Institutions and Money

Volumn 22, Issue 4, 2012, Pages 658-677

  Arghyrou, Michael G ^a   Kontonikas, Alexandros ^b  

^a CARDIFF UNIVERSITY   (United Kingdom)

^b UNIVERSITY OF GLASGOW   (United Kingdom)

Author keywords

Contagion; Crisis; Euro area; Expectations; Fundamentals; Spreads

Indexed keywords

EID: 84863488386     PISSN: 10424431     EISSN: None     Source Type: Journal    
DOI: 10.1016/j.intfin.2012.03.003     Document Type: Article

References (24)

1. Acharya, V.V., Drechsler, I., Schnabl, P., 2011. A Pyrrhic victory? Bank bailouts and sovereign credit risk. NBER Working Paper 17136.
2. Arghyrou, M.G., Kontonikas, A., 2011. The EMU sovereign debt crisis: fundamentals, expectations and contagion. European Economy - Economic Papers Series No 436. European Commission, DG ECFIN.
3. Arghyrou M.G., Tsoukalas J. The Greek debt crisis: likely causes, mechanics and outcomes. The World Economy 2011, 34:173-191.
4. Arghyrou M.G., Gregoriou A., Pourpourides P. Risk aversion, exchange rate uncertainty and the law of one price: insights from the market for air-travel tickets. Canadian Journal of Economics 2011, 44:880-906.
5. Attinasi, M.-G., Checherita, C., Nickel, C., 2009. What explains the surge in euro area sovereign spreads during the financial crisis of 2007-09? ECB Working Paper Series No. 1131.
6. Barrios, S., Iversen, P., Lewandowska, M., Setzer, R., 2009. Determinants of intra-euro area government bond spreads during the financial crisis. European Commission, Directorate General for Economic and Financial Affairs, Economic Papers No. 388.
7. Beber A., Brandt M.W., Kavajecz K.A. Flight-to-quality or flight-to-liquidity? Evidence from the euro area bond market. Review of Financial Studies 2009, 22:925-957.
8. Bernoth K., Wolff G. Fool the markets? Creative accounting, fiscal transparency and sovereign risk premia. Scottish Journal of Political Economy 2008, 55:465-487.
9. Bernoth, K., von Hagen, J., Schuknecht, L., 2004. Sovereign risk premia in the European government bond market. ECB Working Paper Series No. 369.
10. Caceres, C., Guzzo, V., Segoviano, M., 2010. Sovereign spreads: global risk aversion, contagion or fundamentals? IMF Working Paper 10/120.
11. Codogno L., Favero C., Missale A. Yield spreads on EMU government bonds. Economic Policy 2003, 18:505-532.
12. Favero C., Pagano M., von Thadden E.-L. How does liquidity affect government bond yields?. Journal of Financial and Quantitative Analysis 2010, 45:107-134.
13. Gerlach, S., Schulz, A., Wolff, G.B., 2010. Banking and sovereign risk in the euro area. CEPR Discussion Paper No. 7833.
14. Gomez-Puig M. Size matters for liquidity: evidence from EMU sovereign yield spreads. Economics Letters 2006, 90:156-162.
15. Lee J., Strazicich M.C. Minimum Lagrange multiplier unit root test with two structural breaks. The Review of Economics and Statistics 2003, 85:1082-1089.
16. Longstaff F., Pan J., Pedersen L., Singleton K. How sovereign is sovereign credit risk?. American Economic Journal: Macroeconomics 2011, 3:75-103.
17. Manganelli S., Wolswijk G. What drives spreads in the euro area government bond market?. Economic Policy 2009, 24:191-240.
18. Newey W., West K. A simple positive semi-definite, heteroskedasticity and autocorrelation consistent covariance matrix. Econometrica 1987, 55:703-770.
19. Oliveira L., Curto J.D., Nunes J.P. The determinants of sovereign credit spread changes in the Euro-zone. Journal of International Financial Markets, Institutions and Money 2012, 22:278-304.
20. Pesaran M.H., Smith R. Estimating long-run relationships from dynamic heterogeneous panels. Journal of Econometrics 1995, 68:79-113.
21. Rogoff K. The purchasing power parity puzzle. Journal of Economic Literature 1996, 34:647-668.
22. Schuknecht L., von Hagen J., Wolswijk G. Government risk premiums in the bond market: EMU and Canada. European Journal of Political Economy 2009, 25:371-384.
23. Schuknecht, L., von Hagen, J., Wolswijk, G., 2010. Government bond risk premiums in the EU revisited: the impact of the financial crisis. ECB Working Paper Series No. 1152.
24. The Economist, 12/06/2010. When markets go wrong. Buttonwood column.