Please use this identifier to cite or link to this item: http://hdl.handle.net/2381/33051
Title: Are all sovereigns equal? A test of the common determination of sovereign spreads in the euro area
Authors: Gibson, H. D.
Hall, Stephen G.
Tavlas, G. S.
First Published: 14-May-2014
Publisher: Springer Verlag
Citation: Empirical Economics, 2015, 48 (3), pp. 939-949
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
Links: http://link.springer.com/article/10.1007%2Fs00181-014-0825-7
http://hdl.handle.net/2381/33051
Version: Post-print
Status: Peer-reviewed
Type: Journal Article
Rights: Copyright © Springer-Verlag Berlin Heidelberg 2014. Deposited with reference to the Publisher's self-archiving policy, available at http://www.springer.com/gp/open-access/authors-rights/self-archiving-policy/2124 . The final publication is available at Springer via http://dx.doi.org/10.1007/s00181-014-0825-7 .
Appears in Collections:Published Articles, Dept. of Economics

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