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Empirical Economics
Erschienen in: Empirical Economics 3/2015

01.05.2015

Are all sovereigns equal? A test of the common determination of sovereign spreads in the euro area

verfasst von: Heather D. Gibson, Stephen G. Hall, George S. Tavlas

Erschienen in: Empirical Economics | Ausgabe 3/2015

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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.
Vorheriger Artikel A micro spatial analysis of firm demography: the case of food stores in the area of Trento (Italy)
Nächster Artikel Taylor rules revisited: ECB and Bundesbank in comparison

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Fußnoten
1
The extent, however, that the increase in sovereign spreads during 2011 and 2012 in Greece, for example, possibly reflected expectations of a possible departure of that country from the euro area, currency risk may not have been completely eliminated.
 
2
This variable is semi-annual but is not interpolated in the usual way to get monthly data; rather it is constructed to prevent news events occurring before they were actually announced.
 
3
We have chosen these two not only partly because they deal with the two main possible types of heteroskedasticity, cross section and time series, but also partly because having tried a number of other adjustments these proved to give the two extremes of correction from the standard test and hence they give a range of possible adjustment.
 
4
See Gibson et al. (2012) for a discussion of the unfolding of the euro-area crisis.
 
5
See Baltagi (2008), chap. 4, for a discussion of tests of hypotheses with panel data.
 
Literatur
Baltagi BH (2008) Econometric analysis with panel data, 4th edn. John Wiley, Chichester
Baltagi BH, Bresson G, Pirotte A (2008) To pool or not to pool, chap. 16. In: Matyas L, Sevestre P (eds) The econometrics of panel data: fundamentals and recent developments in theory and practise. Springer, Heidelberg
De Grauwe P, Ji Y (2013) Self-fulfilling crises in the Eurozone: an empirical test. J Int Money Financ 34:15–36CrossRef
Gibson HD, Hall SG, Tavlas GS (2012) The Greek financial crisis: growing imbalances and sovereign spreads. J Int Money Financ 31:498–516CrossRef
Pesaran MH, Smith R (1995) Estimating long run relationships from dynamic heterogeneous panels. J Econom 68:79–113
Pesaran MH, Shin Y, Smith R (1999) Pooled mean group estimation of dynamic heterogeneous panels. J Am Stat Soc Assoc 94:621–634
Metadaten
Titel
Are all sovereigns equal? A test of the common determination of sovereign spreads in the euro area
verfasst von
Heather D. Gibson
Stephen G. Hall
George S. Tavlas
Publikationsdatum
01.05.2015
Verlag
Springer Berlin Heidelberg
Erschienen in
Empirical Economics / Ausgabe 3/2015
Print ISSN: 0377-7332
Elektronische ISSN: 1435-8921
DOI
https://doi.org/10.1007/s00181-014-0825-7

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