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Title: Are all sovereigns equal? A test of the common determination of sovereign spreads in the euro area
Authors: Gibson, Heather D.
Tavlas, George S.
Hall, Stephen G.
First Published: 14-Jun-2014
Publisher: Springer Verlag
Citation: Empirical Economics, 2014
Abstract: 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.
DOI Link: 10.1007/s00181-014-0825-7
ISSN: 0377-7332
eISSN: 1435-8921
Version: Post-print
Status: Peer-reviewed
Type: Journal Article
Rights: Copyright © 2014, Springer Verlag. Deposited with reference to the publisher’s archiving policy available on the SHERPA/RoMEO website.
Appears in Collections:Published Articles, Dept. of Economics

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