期刊名称：Cuadernos de Ciencias Económicas y Empresariales
印刷版ISSN：0211-4356
出版年度：2013
期号：65
页码：71-84
出版社：Universidad de Málaga
摘要：El análisis del contagio del riesgo soberano es un tema de gran interés porque afecta a las finanzas públicas en la Unión Monetaria Europea. Para ello aplicamos un análisis de correlación y un análisis de componentes principales de las primas de riesgo soberano en la Eurozona. Los resultados distinguen dos grupos de países con diferentes comportamientos, países fuertes y países débiles. Obtenemos evidencia de la existencia de un efecto contagio entre los países débiles desde el comienzo de la crisis financiera en 2007 y el rescate de Grecia. También se obtienen dos factores que reflejan el riesgo global de la Eurozona y el riesgo relativo entre los países fuertes y débiles.
其他摘要：The analysis of sovereign risk contagion in the Eurozone is of considerable interest because of the influence of this concept on public finances in European Mo- netary Union (EMU). This paper is related to the theories that explain contagion not only for the evolution of fundamentals, but also for factors unrelated to fundamentals, because these economic indicators cannot change in the short term. We apply a correlation analysis and a principal components analysis of sovereign risk premiums in the Eurozone to test if there have been contagion in the financial crisis and if the countries analyzed show different behavior towards this phenomenon. The results distinguish two groups of countries with different behaviors, strong and weak. We obtained evidence of the existence of a contagion effect among weak countries since the outbreak of the financial crisis in 2007 and the bailout of Greece, as well as the existence of two factors that reflect the overall risk of the Eurozone and the relative risk between strong and weak countries.
关键词：Riesgo Soberano; Prima de Riesgo; Efecto Contagio
