Contagion in the Euro Area Sovereign Bond Market
Bibliographic Data
| ID | 8019195 |
|---|---|
| Authors | Umberto Muratori (0009-0008-1956-5008, Inter-American Development Bank, corresponding author) |
| Year | 2014 |
| Volume | 4 |
| Issue | 1 |
| Pages | 66-82 |
| Publication date | 2014-12-29 |
| Open Access | Yes |
| Type | ARTICLE |
| Venue | Social Sciences (JOURNAL) |
| Journal identifiers | ISSN: 2076-0760 • E-ISSN: 2076-0760 |
| Publisher | MDPI AG (PUBLISHER • IT) |
| DOI | 10.3390/socsci4010066 |
| OpenAlex | W1981547948 |
| Language | EN |
| Citations received | 4 |
| References cited | 25 |
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
Bond · Bond market · Economics · European debt crisis · European integration · European union · Financial contagion · Financial crisis · Financial market · Government bond · Interest rate · International economics · Macroeconomics · Monetary economics · Sovereign debt · Sovereignty · Banking stability, regulation, efficiency · Credit Risk and Financial Regulations · Monetary Policy and Economic Impact · Finance
| Citations per year | 0.4 |
|---|---|
| Citation span | 2016 - 2024 (9) |
| Highly cited | No |