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Soc. Sci. 2015, 4(1), 66-82; doi:10.3390/socsci4010066

Contagion in the Euro Area Sovereign Bond Market

Inter-American Development Bank, 1300 New York Avenue, Washington, DC 20577, USA
Academic Editor: Martin J. Bull
Received: 5 April 2014 / Accepted: 18 November 2014 / Published: 29 December 2014
(This article belongs to the Special Issue The Eurozone Crisis: A Multidisciplinary Perspective)
View Full-Text   |   Download PDF [442 KB, uploaded 29 December 2014]   |  

Abstract

In the last half-decade the European Monetary Union (EMU) has experienced a growing financial instability culminating with an extended sovereign debt crisis that has hit mostly the peripheral countries. Besides weak macroeconomic fundamentals, contagion phenomena in the government bond market damaged the countries more exposed to the financial stress. In this paper, the author investigates the issue of contagion applying to the financial field an innovative econometric technique, i.e., panel spatial regression. The paper documents: (i) the presence of contagion, in particular among peripheral countries; (ii) the changes in the magnitude of contagion in the different phases of the debt crisis; and (iii) the relevance of policy interventions in reducing the contagion effect in the EMU. View Full-Text
Keywords: sovereign debt crisis; contagion effect; panel spatial regression sovereign debt crisis; contagion effect; panel spatial regression
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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. (CC BY 4.0).

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Muratori, U. Contagion in the Euro Area Sovereign Bond Market. Soc. Sci. 2015, 4, 66-82.

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