2026-04-17T00:47:58Zhttps://recercat.cat/oai/request

oai:recercat.cat:2445/547252025-12-06T01:56:20Zcom_2072_1057col_2072_478809col_2072_478911col_2072_478917

00925njm 22002777a 4500 dc Gómez-Puig, Marta author Sosvilla Rivero, Simón author 2014-06-02T10:39:08Z 2014-06-02T10:39:08Z 2014 2014-06-02T10:39:09Z We empirically investigate whether the transmission of the recent crisis in euro area sovereign debt markets was due to fundamentals-based or pure contagion. To do so, we examine the behaviour of EMU sovereign bond yield spreads with respect to the German bund for a sample of both central and peripheral countries from January 1999 to December 2012. First we apply a dynamic approach to analyse the evolution of the degree of Grangercausality within the 90 pairs of sovereign bond yield spreads in our sample, in order to detect episodes of significantly increased causality between them (which we associate with contagion) and episodes of significantly reduced interconnection (which we associate with immunisation). We then use an ordered logit model to assess the determinants of the occurrence of the episodes detected. Our results suggest the importance of variables proxying market sentiment and of variables proxying macrofundamentals in determining contagion and immunisation outcomes. Therefore, our findings underline the coexistence of “pure” and “fundamentals-based contagion” during the recent European debt crisis. Unions monetàries Mercat financer Liquiditat (Economia) Crèdit Monetary unions Financial market Liquidity (Economics) Credit EMU sovereign debt market crisis: Fundamentals-based or pure contagion?