Bitte verwenden Sie diesen Link, um diese Publikation zu zitieren, oder auf sie als Internetquelle zu verweisen: https://hdl.handle.net/10419/65760 
Erscheinungsjahr: 
2010
Schriftenreihe/Nr.: 
Cardiff Economics Working Papers No. E2010/9
Verlag: 
Cardiff University, Cardiff Business School, Cardiff
Zusammenfassung: 
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.
Schlagwörter: 
euro-area
crisis
spreads
fundamentals
expectations
contagion
speculation
JEL: 
E43
E44
F30
G01
G12
Dokumentart: 
Working Paper

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