The EMU sovereign-debt crisis: Fundamentals, expectations and contagion

摘要: We offer a detailed empirical investigation of the EMU sovereign-debt crisis. find marked shift in market pricing behaviour from ‘convergence-trade’ model before August 2007 to one driven by macro-fundamentals and international risk thereafter. evidence contagion effects, particularly among periphery countries. The debt crisis is divided into an early current period. Unlike former where was mainly originating Greece, latter involves multiple sources contagion. Finally, escalation Greek since November 2009 due unfavourable country-specific expectations.