|
EconStor >
Cardiff University >
Cardiff Business School, Cardiff University >
Cardiff Economics Working Papers >
Please use this identifier to cite or link to this item:
http://hdl.handle.net/10419/65760
|
| | |
| Title: | | The EMU sovereign-debt crisis: Fundamentals, expectations and contagion  |
| Authors: | | Arghyrou, Michael G. Kontonikas, Alexandros |
| Issue Date: | | 2010 |
| Series/Report no.: | | Cardiff Economics Working Papers E2010/9 |
| Abstract: | | We offer a detailed empirical investigation of the European sovereign debt crisis based on the theoretical model by Arghyrou and Tsoukalas (2010). We find evidence of a marked shift in market pricing behaviour from a 'convergence-trade' model before August 2007 to one driven by macro-fundamentals and international risk thereafter. The majority of EMU countries have experienced contagion from Greece. There is no evidence of significant speculation effects originating from CDS markets. Finally, the escalation of the Greek debt crisis since November 2009 is confirmed as the result of an unfavourable shift in country specific market expectations. Our findings highlight the necessity of structural, competitiveness-inducing reforms in periphery EMU countries and institutional reforms at the EMU level enhancing intra-EMU economic monitoring and policy co-ordination. |
| Subjects: | | euro-area crisis spreads fundamentals expectations contagion speculation |
| JEL: | | E43 E44 F30 G01 G12 |
| Document Type: | | Working Paper |
| Appears in Collections: | | Cardiff Economics Working Papers
|
| |
| | |
Download bibliographical data as:
BibTeX
|
| |
Share on:http://hdl.handle.net/10419/65760
|
Items in EconStor are protected by copyright, with all rights reserved, unless otherwise indicated.
|