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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 03.12.2014, 15:24 by Heather D. Gibson, George S. Tavlas, Stephen G. Hall
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.

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Citation

Empirical Economics, 2014

Author affiliation

/Organisation/COLLEGE OF SOCIAL SCIENCE/Department of Economics

Version

AM (Accepted Manuscript)

Published in

Empirical Economics

Publisher

Springer Verlag

issn

0377-7332

eissn

1435-8921

Copyright date

2014

Available date

14/06/2015

Publisher version

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

Language

en

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