RT Journal Article
T1 Causality and contagion in EMU sovereign debt markets
A1 Gómez-Puig, Marta
A1 Sosvilla Rivero, Simón Javier
AB 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.
PB Elservier
SN 1059-0560.
YR 2014
FD 2014
LK https://hdl.handle.net/20.500.14352/34693
UL https://hdl.handle.net/20.500.14352/34693
LA eng
NO Government of Spain
DS Docta Complutense
RD 4 abr 2025