文章基本信息

标题：Contagion of Sovereign Debt in the Eurozone
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作者：Astrid Ayala ; Szabolcs Blazsek
期刊名称：Theoretical Economics Letters
印刷版ISSN：2162-2078
电子版ISSN：2162-2086
出版年度：2014
卷号：04
期号：01
页码：98-109
DOI：10.4236/tel.2014.41016
语种：English
出版社：Scientific Research Publishing
摘要：This study reports contagion and interdependence of quarterly debt to gross domestic product (GDP) among the member states of the Eurozone over the period 2000 Q4 to 2012 Q1. We test for contagion and interdependence in two steps. First, we define an indicator variable of increasing debt to GDP for each country during the period following the United States financial crisis, by using unit root tests incorporating structural changes and breaking trend regressions. Second, the indicator variable is included in the latent-factor panel data model to separate contagion and interdependence of debt to GDP among Eurozone member states. Results show significant and country-dependent contagion and interdependence effects of debt to GDP in the Eurozone.
关键词：European Monetary Union; Sovereign Debt; Fiscal Crisis; Contagion and Interdependence; Efficient Importance Sampling