Fouquau, Julien; Delatte, Anne-Laure; Bruneau, Catherine - Université Paris-Dauphine (Paris IX) - 2012
We assess the nature of the European sovereign crisis in the light of a model borrowed from the second generation of currency crises. We bring the theory to the data to empirically test the presence of self-fulfilling dynamics and to identify what may have driven the market sentiment during this...