Causality and contagion in EMU sovereign debt markets
This paper contributes to the literature by applying the Granger-causality approach and endogenous breakpoint test to offer an operational definition of contagion to examine European Economic and Monetary Union (EMU) countries public debt behavior. A database of yields on 10-year government bonds is...
| Authors: | , |
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| Format: | article |
| Publication Date: | 2014 |
| Country: | España |
| Institution: | Universidad Complutense de Madrid (UCM) |
| Repository: | Docta Complutense |
| Language: | English |
| OAI Identifier: | oai:docta.ucm.es:20.500.14352/34693 |
| Online Access: | https://hdl.handle.net/20.500.14352/34693 |
| Access Level: | Open access |
| Keyword: | E44 F36 G15 C52 Sovereign bond yields Granger-Causality Contagion Euro area Crisis económicas Econometría (Economía) Economía internacional Economía pública 5307.06 Fluctuaciones Económicas 5302 Econometría 5310 Economía Internacional |
| Summary: | This paper contributes to the literature by applying the Granger-causality approach and endogenous breakpoint test to offer an operational definition of contagion to examine European Economic and Monetary Union (EMU) countries public debt behavior. A database of yields on 10-year government bonds issued by 11 EMU countries covering fourteen years of monetary union is used. The main results suggest that the 41 new causality patterns, which appeared for the first time in the crisis period, and the intensification of causality recorded in 70% of the cases provide clear evidence of contagion in the aftermath of the current euro debt crisis. |
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