Correction published on 27 March 2014, see
Soc. Sci. 2014, 3(2), 193.
Debt Contagion in Europe: A Panel-Vector Autoregressive (VAR) Analysis
1
Economics Department, Sonoma State University, 1801 E. Cotati Avenue, Rohnert Park, CA 94928, USA
2
Economics Department, US Naval Academy, 12 Blake Road, Annapolis, MD 21402, USA
3
Economics Department, University of the Pacific, 3601 Pacific Avenue, Stockton, CA 95211, USA
*
Author to whom correspondence should be addressed.
Soc. Sci. 2013, 2(4), 318-340; https://doi.org/10.3390/socsci2040318
Received: 23 September 2013
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Revised: 21 November 2013
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Accepted: 9 December 2013
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Published: 18 December 2013
(This article belongs to the Special Issue The Eurozone Crisis: A Multidisciplinary Perspective)
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.
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Keywords:
Panel VAR; sovereign debt crisis; euro area; contagion
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- Correction
Correction (PDF, 16 KiB)
A correction was published on 27 March 2014 (https://www.mdpi.com/2076-0760/3/2/193)
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. https://doi.org/10.3390/socsci2040318
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. https://doi.org/10.3390/socsci2040318
Chicago/Turabian StyleBouvet, Florence, Ryan Brady, and Sharmila King. 2013. "Debt Contagion in Europe: A Panel-Vector Autoregressive (VAR) Analysis" Social Sciences 2, no. 4: 318-340. https://doi.org/10.3390/socsci2040318
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