| Article ID | Journal | Published Year | Pages | File Type |
|---|---|---|---|---|
| 963478 | Journal of International Financial Markets, Institutions and Money | 2012 | 20 Pages |
Abstract
⺠We model euro area sovereign bond yield spreads over the period 1999.01-2011.08. ⺠Before the global credit crunch bond markets priced only expected fiscal positions. ⺠During the crisis markets price international risk and macro-fundamentals. ⺠The Greek debt crisis is due to deterioration in fundamentals and expectations. ⺠Contagion effects are present, particularly among EMU periphery countries.
Related Topics
Social Sciences and Humanities
Economics, Econometrics and Finance
Economics and Econometrics
Authors
Michael G. Arghyrou, Alexandros Kontonikas,