Caporale, Guglielmo Maria and Girardi, Alessandro (2012) Fiscal spillovers in the Euro area. Centre for EMEA Banking, Finance and Economics Working Paper Series, 2012 (32). pp. 1-33.
CentreForInternationalCapitalMarketsWorkingPapers_2012-32_p01-33.pdf - Published Version
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This paper analyses the dynamic effects of fiscal imbalances in a given EMU member state on the borrowing costs of other countries in the euro area. The estimation of a multivariate, multi-country time series model (specifically a Global VAR, or GVAR) using quarterly data for the EMU period suggests that euro-denominated government yields are strongly linked with each other. However, financial markets seem to be able to discriminate among different issuers. Consequently, fiscal imbalances in Italy and in other peripheral countries should be closely monitored by their EMU partners and the European institutions.
|Uncontrolled Keywords:||Centre for EMEA Banking, Finance and Economics Working Paper Series; global VAR methodology; global vector autoregression methodology; fiscal spillovers; euro area; public debt|
|Subjects:||300 Social sciences > 330 Economics|
|Department:||Guildhall School of Business and Law|
|Depositing User:||Mary Burslem|
|Date Deposited:||17 Apr 2015 09:08|
|Last Modified:||20 Apr 2015 08:42|
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