Bahaj, Saleem;
(2020)
Sovereign spreads in the Euro area: Cross border transmission and macroeconomic implications.
Journal of Monetary Economics
, 110
pp. 116-135.
10.1016/j.jmoneco.2019.01.006.
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Abstract
Large movements in sovereign spreads were at the heart of the euro crisis. This paper builds a new high-frequency narrative dataset of country specific events in the crisis period to identify shocks to sovereign spreads that are orthogonal to the economy. It finds that an increase in sovereign spreads has a contractionary macroeconomic impact with transmission running through a deterioration in private financial conditions. Moreover, the market reactions to foreign events explains a meaningful share of the variation in a sovereign's cost of borrowing during the crisis.
| Type: | Article |
|---|---|
| Title: | Sovereign spreads in the Euro area: Cross border transmission and macroeconomic implications |
| Open access status: | An open access version is available from UCL Discovery |
| DOI: | 10.1016/j.jmoneco.2019.01.006 |
| Publisher version: | https://doi.org/10.1016/j.jmoneco.2019.01.006 |
| Language: | English |
| Additional information: | This version is the author accepted manuscript. For information on re-use, please refer to the publisher’s terms and conditions. |
| Keywords: | Sovereign risk passthrough, High frequency identification, Contagion |
| UCL classification: | UCL UCL > Provost and Vice Provost Offices > UCL BEAMS UCL > Provost and Vice Provost Offices > UCL BEAMS > Faculty of Engineering Science > UCL School of Management |
| URI: | https://discovery-pp.ucl.ac.uk/id/eprint/10195701 |
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