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Spain and the European sovereign debt crisis.
- Source :
-
European Journal of Political Economy . Jun2014 Supplement, Vol. 34, pS3-S8. 6p. - Publication Year :
- 2014
-
Abstract
- 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. [ABSTRACT FROM AUTHOR]
Details
- Language :
- English
- ISSN :
- 01762680
- Volume :
- 34
- Database :
- Academic Search Index
- Journal :
- European Journal of Political Economy
- Publication Type :
- Academic Journal
- Accession number :
- 97141738
- Full Text :
- https://doi.org/10.1016/j.ejpoleco.2013.08.006