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...
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| Veröffentlicht in: | International review of economics & finance 2014-09, Vol.33, p.12-27 |
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| container_title | International review of economics & finance |
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| creator | Gómez-Puig, Marta Sosvilla Rivero, Simón, 1961 |
| description | 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.
•We offer an operational definition of contagion.•We test for Granger-causal relationships between EMU sovereign bond yields.•We endogenously determine the breakpoints in the evolution of those relationships.•The number and intensity of causal relationships increase after an endogenous shock.•We provide evidence of contagion in the aftermath of the euro debt crisis. |
| doi_str_mv | 10.1016/j.iref.2014.03.003 |
| format | Article |
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•We offer an operational definition of contagion.•We test for Granger-causal relationships between EMU sovereign bond yields.•We endogenously determine the breakpoints in the evolution of those relationships.•The number and intensity of causal relationships increase after an endogenous shock.•We provide evidence of contagion in the aftermath of the euro debt crisis.</description><identifier>ISSN: 1059-0560</identifier><identifier>EISSN: 1873-8036</identifier><identifier>DOI: 10.1016/j.iref.2014.03.003</identifier><language>eng</language><publisher>Greenwich: Elsevier Inc</publisher><subject>Bond issues ; Causality ; Contagion ; Credit ; Crèdit ; Deficit financing ; Economic crisis ; Euro area ; European Monetary Union ; Financial market ; Granger-causality ; Liquiditat (Economia) ; Liquidity (Economics) ; Mercat financer ; Monetary unions ; Sovereign bond yields ; Sovereign debt ; Studies ; Unions monetàries</subject><ispartof>International review of economics & finance, 2014-09, Vol.33, p.12-27</ispartof><rights>2014 Elsevier Inc.</rights><rights>Copyright Elsevier Science Ltd. Sep 2014</rights><rights>(c) Elsevier, 2014 info:eu-repo/semantics/openAccess</rights><lds50>peer_reviewed</lds50><oa>free_for_read</oa><woscitedreferencessubscribed>false</woscitedreferencessubscribed><citedby>FETCH-LOGICAL-c478t-e0918cf5b92d4b07082a9b85d6709c836c39170decea6c89030f9dccbe472eb63</citedby><cites>FETCH-LOGICAL-c478t-e0918cf5b92d4b07082a9b85d6709c836c39170decea6c89030f9dccbe472eb63</cites></display><links><openurl>$$Topenurl_article</openurl><openurlfulltext>$$Topenurlfull_article</openurlfulltext><thumbnail>$$Tsyndetics_thumb_exl</thumbnail><linktohtml>$$Uhttps://www.sciencedirect.com/science/article/pii/S1059056014000343$$EHTML$$P50$$Gelsevier$$H</linktohtml><link.rule.ids>230,314,776,780,881,3537,26951,27901,27902,65306</link.rule.ids></links><search><creatorcontrib>Gómez-Puig, Marta</creatorcontrib><creatorcontrib>Sosvilla Rivero, Simón, 1961</creatorcontrib><title>Causality and contagion in EMU sovereign debt markets</title><title>International review of economics & finance</title><description>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.
•We offer an operational definition of contagion.•We test for Granger-causal relationships between EMU sovereign bond yields.•We endogenously determine the breakpoints in the evolution of those relationships.•The number and intensity of causal relationships increase after an endogenous shock.•We provide evidence of contagion in the aftermath of the euro debt crisis.</description><subject>Bond issues</subject><subject>Causality</subject><subject>Contagion</subject><subject>Credit</subject><subject>Crèdit</subject><subject>Deficit financing</subject><subject>Economic crisis</subject><subject>Euro area</subject><subject>European Monetary Union</subject><subject>Financial market</subject><subject>Granger-causality</subject><subject>Liquiditat (Economia)</subject><subject>Liquidity (Economics)</subject><subject>Mercat financer</subject><subject>Monetary unions</subject><subject>Sovereign bond yields</subject><subject>Sovereign debt</subject><subject>Studies</subject><subject>Unions monetàries</subject><issn>1059-0560</issn><issn>1873-8036</issn><fulltext>true</fulltext><rsrctype>article</rsrctype><creationdate>2014</creationdate><recordtype>article</recordtype><sourceid>XX2</sourceid><recordid>eNp9kE1LxDAQhoMouK7-AU8Fz62TpG0a8CLL-gErXtxzSJN0SV2bNUkX9t-bugvePAwzA-8zHy9CtxgKDLi-7wvrTVcQwGUBtACgZ2iGG0bzBmh9nmqoeA5VDZfoKoQeAAgt-QxVCzkGubXxkMlBZ8oNUW6sGzI7ZMu3dRbc3nhjN0OmTRuzL-k_TQzX6KKT22BuTnmO1k_Lj8VLvnp_fl08rnJVsibmBjhuVFe1nOiyBQYNkbxtKl0z4KqhtaIcM9BGGVmrhgOFjmulWlMyYtqazhE-zlVhVMInnVcyCiftXzMFAUYEYZQCS8zdkdl59z2aEEXvRj-kMwWuyqQhaU9SkdNk70JI3omdt-m7g8AgJktFLyZLxWSpACrgF3o4Qib9vLfGi6CsGZTRSaqi0M7-h_8AiVt9xA</recordid><startdate>20140901</startdate><enddate>20140901</enddate><creator>Gómez-Puig, Marta</creator><creator>Sosvilla Rivero, Simón, 1961</creator><general>Elsevier Inc</general><general>Elsevier Science Ltd</general><general>Elsevier</general><scope>AAYXX</scope><scope>CITATION</scope><scope>XX2</scope></search><sort><creationdate>20140901</creationdate><title>Causality and contagion in EMU sovereign debt markets</title><author>Gómez-Puig, Marta ; Sosvilla Rivero, Simón, 1961</author></sort><facets><frbrtype>5</frbrtype><frbrgroupid>cdi_FETCH-LOGICAL-c478t-e0918cf5b92d4b07082a9b85d6709c836c39170decea6c89030f9dccbe472eb63</frbrgroupid><rsrctype>articles</rsrctype><prefilter>articles</prefilter><language>eng</language><creationdate>2014</creationdate><topic>Bond issues</topic><topic>Causality</topic><topic>Contagion</topic><topic>Credit</topic><topic>Crèdit</topic><topic>Deficit financing</topic><topic>Economic crisis</topic><topic>Euro area</topic><topic>European Monetary Union</topic><topic>Financial market</topic><topic>Granger-causality</topic><topic>Liquiditat (Economia)</topic><topic>Liquidity (Economics)</topic><topic>Mercat financer</topic><topic>Monetary unions</topic><topic>Sovereign bond yields</topic><topic>Sovereign debt</topic><topic>Studies</topic><topic>Unions monetàries</topic><toplevel>peer_reviewed</toplevel><toplevel>online_resources</toplevel><creatorcontrib>Gómez-Puig, Marta</creatorcontrib><creatorcontrib>Sosvilla Rivero, Simón, 1961</creatorcontrib><collection>CrossRef</collection><collection>Recercat</collection><jtitle>International review of economics & finance</jtitle></facets><delivery><delcategory>Remote Search Resource</delcategory><fulltext>fulltext</fulltext></delivery><addata><au>Gómez-Puig, Marta</au><au>Sosvilla Rivero, Simón, 1961</au><format>journal</format><genre>article</genre><ristype>JOUR</ristype><atitle>Causality and contagion in EMU sovereign debt markets</atitle><jtitle>International review of economics & finance</jtitle><date>2014-09-01</date><risdate>2014</risdate><volume>33</volume><spage>12</spage><epage>27</epage><pages>12-27</pages><issn>1059-0560</issn><eissn>1873-8036</eissn><abstract>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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| ispartof | International review of economics & finance, 2014-09, Vol.33, p.12-27 |
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| language | eng |
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| source | Recercat; Elsevier ScienceDirect Journals |
| subjects | Bond issues Causality Contagion Credit Crèdit Deficit financing Economic crisis Euro area European Monetary Union Financial market Granger-causality Liquiditat (Economia) Liquidity (Economics) Mercat financer Monetary unions Sovereign bond yields Sovereign debt Studies Unions monetàries |
| title | Causality and contagion in EMU sovereign debt markets |
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