期刊名称：Departmental Discussion Papers / University of Glasgow, Department of Economics
出版年度：2010
卷号：1
出版社：University of Glasgow, Department of Economics
摘要：We offer a detailed empirical investigation of the European sovereign debt crisis based on the
theoretical model by Arghyrou and Tsoukalas (2010). We find evidence of a marked shift in
market pricing behaviour from a ‘convergence-trade’ model before August 2007 to one
driven by macro-fundamentals and international risk thereafter. The majority of EMU
countries have experienced contagion from Greece. There is no evidence of significant
speculation effects originating from CDS markets. Finally, the escalation of the Greek debt
crisis since November 2009 is confirmed as the result of an unfavourable shift in countryspecific
market expectations. Our findings highlight the necessity of structural,
competitiveness-inducing reforms in periphery EMU countries and institutional reforms at
the EMU level enhancing intra-EMU economic monitoring and policy co-ordination.
