Real effects of sovereign bond market spillovers in the euro area

Niklas Gadatsch

This paper develops a small open economy model to investigate the impact of rising sovereign bond market spreads on the real economy. One key element of the model is a "sovereign risk channel" through which tensions in the sovereign bond market tend to spill over into private credit markets. The model is estimated with Bayesian methods and data for "high-spread" countries in the euro area. It turns out that spread shocks during the Euro crisis had a negative effect on real GDP growth in these countries, up to 0.8 percentage points (PP) Portugal and Ireland, 0.3 PP in Italy and 0.2 PP in Spain.

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Year of publication:	2015
Authors:	Gadatsch, Niklas
Publisher:	Wiesbaden : Statistisches Bundesamt
Subject:	Small open economy \| Business cycles \| Sovereign risk premium \| DSGE modeling \| Öffentliche Anleihe \| Public bond \| Länderrisiko \| Country risk \| Zinsstruktur \| Yield curve \| Eurozone \| Euro area \| Wirkungsanalyse \| Impact assessment \| Konjunktur \| Business cycle \| Portugal \| Irland \| Ireland \| Italien \| Italy \| Spanien \| Spain \| 2000-2013

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Extent:	Online-Ressourcee (31 S.) graph. Darst.
Series:	Arbeitspapier. - [Wiesbaden] : [Sachverständigenrat zur Begutachtung der Gesamtwirtschaftlichen Entwicklung], ZDB-ID 2719324-X. - Vol. 01/2015
Type of publication:	Book / Working Paper
Type of publication (narrower categories):	Arbeitspapier ; Working Paper ; Graue Literatur ; Non-commercial literature
Language:	English
Notes:	Systemvoraussetzungen: Acrobat Reader
Other identifiers:	hdl:10419/110188 [Handle]
Classification:	E32 - Business Fluctuations; Cycles ; E43 - Determination of Interest Rates; Term Structure Interest Rates ; F41 - Open Economy Macroeconomics
Source:	ECONIS - Online Catalogue of the ZBW

Persistent link: https://www.econbiz.de/10010512139