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Are all sovereigns equal? A test of the common determination of sovereign spreads in the euro area

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journal contribution
posted on 2015-09-15, 10:54 authored by H. D. Gibson, Stephen G. Hall, G. S. Tavlas
With the outbreak of the Greek financial crisis in late 2009, spreads on Greek (and other) sovereigns reached unprecedented levels. Using a panel data of euro-area countries, we test whether the markets treated all euro-area countries in an equal manner over the period 1998:m1 to 2012:m6. An F test of the pooling assumptions suggests that Greece, Ireland, and Portugal were not part of the overall pool. In a separate test on the individual coefficients we find that the coefficients on these three countries moved in a similar direction away from the pool, suggesting that markets treated these three countries more acutely than the rest of the pool.

History

Citation

Empirical Economics, 2015, 48 (3), pp. 939-949

Author affiliation

/Organisation/COLLEGE OF SOCIAL SCIENCE/Department of Economics

Version

  • AM (Accepted Manuscript)

Published in

Empirical Economics

Publisher

Springer Verlag

issn

0377-7332

Acceptance date

2014-03-17

Copyright date

2014

Available date

2015-09-16

Publisher version

http://link.springer.com/article/10.1007/s00181-014-0825-7

Language

en

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