2026-06-29T09:24:58Zhttps://docta.ucm.es/rest/oai/request

oai:docta.ucm.es:20.500.14352/346932025-02-13T18:31:04Zcom_20.500.14352_14col_20.500.14352_15

Causality and contagion in EMU sovereign debt markets Gómez-Puig, Marta Sosvilla Rivero, Simón Javier E44 F36 G15 C52 Sovereign bond yields Granger-Causality Contagion Euro area Crisis económicas Econometría (Economía) Economía internacional Economía pública 5307.06 Fluctuaciones Económicas 5302 Econometría 5310 Economía Internacional 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. Government of Spain Depto. de Análisis Económico y Economía Cuantitativa Fac. de Ciencias Económicas y Empresariales TRUE pub 2023-06-19T14:54:21Z 2023-06-19T14:54:21Z 2014 journal article https://hdl.handle.net/20.500.14352/34693 1059-0560. 10.1016/j.iref.2014.03.003 eng ECO2010-21787-C03-01 ECO2008-05565. open access application/pdf Elservier