Spain and the European sovereign debt crisis

Gruppe, Mario; Langé, Christine

doi:10.1016/j.ejpoleco.2013.08.006

Cited by 38 publications

(29 citation statements)

References 11 publications

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“…Gruppe and Lange [37] showed that the Spanish and German government bond yields had a long-term stable relationship. But, they found that the relationship had a structural break at the beginning of 2009, suggesting that the financial market was somewhat efficient and foresaw a higher sovereign debt risk in Spain.…”

Section: Literature Surveymentioning

confidence: 99%

Determinants of the Government Bond Yield in Spain: A Loanable Funds Model

Hsing

2015

IJFS

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This paper applies demand and supply analysis to examine the government bond yield in Spain. The sample ranges from 1999.Q1 to 2014.Q2. The EGARCH model is employed in empirical work. The Spanish government bond yield is positively associated with the government debt/GDP ratio, the short-term Treasury bill rate, the expected inflation rate, the U.S. 10 year government bond yield and a dummy variable representing the debt crisis and negatively affected by the GDP growth rate and the expected nominal effective exchange rate.

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Section: Literature Surveymentioning

confidence: 99%

Determinants of the Government Bond Yield in Spain: A Loanable Funds Model

Hsing

2015

IJFS

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“…See for example Basse, Friedrich and Kleffner [30] as well as Gruppe and Lange [31] and Basse [32] for a detailed investigation of the impacts on long run relationships caused by the European sovereign debt crisis. As Brand, Buncic and Turunen [33] as well as Kunze, Kramer and Rudschuck [27] have mentioned the ECB's monetary policy and the communication thereof do both influence the term structure of interest rates.…”

Section: Literature Reviewmentioning

confidence: 99%

Performance of Survey Forecasts by Professional Analysts: Did the European Debt Crisis Make it Harder or Perhaps Even Easier?

Kunze¹,

Gruppe²

2014

Social Sciences

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Abstract:As the future movements of financial time series like the European Central Bank's benchmark rate are exposed to uncertainty, financial market participants regularly have to rely on professional analysts' forecasts. Not surprisingly-and for decades already-the quality of survey forecasts has been evaluated, with heterogeneous results. In addition, forecasters' performance can change through the course of time. This may happen not only due to wrong or inadequate underlying models. Especially in times of financial turmoil or monetary crisis-like the European debt crisis-the interest rate moves made by central bankers may become even harder to predict (at least the direct reaction to the crisis). Because of this, we evaluate the performance of survey forecasts for the three months rate in the Euro zone performed by financial professionals and test for structural breaks to evidence for crisis related changes and the corresponding forecast errors.

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“…Furthermore, as many insurance companies across the Eurozone invested in GIIPS sovereign debt, higher sovereign spreads may destabilize insurance companies, and the entire shadow banking system in the Eurozone. These spillovers led to adverse externalities, further destabilizing the system, and imposing major challenges on regulators [12,13]. The resultant financial vulnerability is magnified by ignoring tail risks, and by exposure to moral hazard associated with the belief that the euro project is too big, and politically too important, to fail.…”

Section: Structural Versus Financial Distortionsmentioning

confidence: 99%

The Eurozone Crisis: Muddling through on the Way to a More Perfect Euro Union?

Aizenman

2013

Social Sciences

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Taking a historical perspective of economic changes, this paper argues that muddling through crises-induced reforms characterizes well the evolutionary process of forming currency unions. The economic distortions facing the euro include structural challenges in the labor and product markets, and financial distortions. While both structural and financial distortions are costly and prevalent, they differ in fundamental ways. Financial distortions are moving at the speed of the Internet, and their welfare costs are determined more by the access to credit lines and leverage, than by the GDP of each country. In contrast, the structural distortions are moving at a slow pace relative to the financial distortions, and their effects are determined by inter-generational dynamics. These considerations suggest that the priority should be given to dealing with the financial distortions. A more perfect Eurozone is not assured without successfully muddling through painful periodic crises.

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Spain and the European sovereign debt crisis

Cited by 38 publications

References 11 publications

Determinants of the Government Bond Yield in Spain: A Loanable Funds Model

Determinants of the Government Bond Yield in Spain: A Loanable Funds Model

Performance of Survey Forecasts by Professional Analysts: Did the European Debt Crisis Make it Harder or Perhaps Even Easier?

The Eurozone Crisis: Muddling through on the Way to a More Perfect Euro Union?

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