Spillovers from the Euro Area Sovereign Debt Crisis: A Macroeconometric Model Based Analysis
33 Pages Posted: 28 Jul 2011
Date Written: July 2011
Abstract
This paper analyzes past and possible future spillovers from the Euro Area Sovereign Debt Crisis, both within the Euro Area and to the rest of the world. This analysis is based on a structural macroeconometric model of the world economy, disaggregated into fifteen national economies. We find that macroeconomic and financial market spillovers have been small outside of countries with high trade or financial exposures, but that they could become large if severe financial stress were to spread beyond Greece, Ireland and Portugal.
Keywords: Contagion, Euro Area Sovereign Debt Crisis, Panel unobserved components model, Spillovers
JEL Classification: E44, F41
Suggested Citation: Suggested Citation
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