A correction was published on 27 March 2014, see Soc. Sci. 2014, 3(2), 193.

Soc. Sci. 2013, 2(4), 318-340; doi:10.3390/socsci2040318
Article

Debt Contagion in Europe: A Panel-Vector Autoregressive (VAR) Analysis

1,* email, 2email and 3email
Received: 23 September 2013; in revised form: 21 November 2013 / Accepted: 9 December 2013 / Published: 18 December 2013
(This article belongs to the Special Issue The Eurozone Crisis: A Multidisciplinary Perspective)
This is an open access article distributed under the Creative Commons Attribution License which permits unrestricted use, distribution, and reproduction in any medium, provided the original work is properly cited.
Abstract: The European sovereign-debt crisis began in Greece when the government announced in December, 2009, that its debt reached 121% of GDP (or 300 billion euros) and its 2009 budget deficit was 12.7% of GDP, four times the level allowed by the Maastricht Treaty. The Greek crisis soon spread to other Economic and Monetary Union (EMU) countries, notably Ireland, Portugal, Spain and Italy. Using quarterly data for the 2000–2011 period, we implement a panel-vector autoregressive (PVAR) model for 11 EMU countries to examine the extent to which a rise in a country’s bond-yield spread or debt-to-GDP ratio affects another EMU countries’ fiscal and macroeconomic outcomes. To distinguish between interdependence and contagion among EMU countries, we compare results obtained for the pre-crisis period (2000–2007) with the crisis period (2008–2011) and control for global risk aversion.
Keywords: Panel VAR; sovereign debt crisis; euro area; contagion
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  • Correction

    Correction (PDF, 16 KB)

    A correction was published on 27 March 2014 (http://www.mdpi.com/2076-0760/3/2/193)

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MDPI and ACS Style

Bouvet, F.; Brady, R.; King, S. Debt Contagion in Europe: A Panel-Vector Autoregressive (VAR) Analysis. Soc. Sci. 2013, 2, 318-340.

AMA Style

Bouvet F, Brady R, King S. Debt Contagion in Europe: A Panel-Vector Autoregressive (VAR) Analysis. Social Sciences. 2013; 2(4):318-340.

Chicago/Turabian Style

Bouvet, Florence; Brady, Ryan; King, Sharmila. 2013. "Debt Contagion in Europe: A Panel-Vector Autoregressive (VAR) Analysis." Soc. Sci. 2, no. 4: 318-340.

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