Spain and the European sovereign debt crisis

被引：18

作者：

Gruppe, Mario ^{[1
]}

Lange, Carsten ^{[2
]}

机构：

[1] NORD LB, Hannover, Germany

[2] Calif State Polytech Univ Pomona, Dept Econ, Pomona, CA USA

来源：

EUROPEAN JOURNAL OF POLITICAL ECONOMY | 2014年 / 34卷

关键词：

Interest rate convergence; Cointegration; Structural breaks; EMU; OPTIMUM CURRENCY AREAS; COINTEGRATION;

D O I：

10.1016/j.ejpoleco.2013.08.006

中图分类号：

F [经济];

学科分类号：

02 ;

摘要：

This paper presents empirical evidence indicating that German and Spanish government bond yields are cointegrated. Thus, a stable long-term equilibrium relationship among these two variables seems to exist. However, there is also empirical evidence for the existence of a structural break in early 2009. Following Basse, Friedrich and v. d. Schulenburg (2011) we interpret this finding as an indication that financial markets started to see a higher sovereign credit risk in Spain. The structural break may even signal some fears about the return of exchange rate risk. Given that the break date is quite early; our empirical findings could be an indication that bond markets are at least partially efficient. (C) 2013 Elsevier B.V. All rights reserved.

引用

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页码：S3 / S8

页数：6

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