Arbeitspapier

Sovereign Debt Crisis in Portugal and Spain

The 2007-2008 financial crisis and the European sovereign debt crisis effects rippled through the financial system, banks and sovereign states. We analyze these events, focusing on the Portuguese and Spanish case after providing an insight into the Eurozone. We assessed the pricing of sovereign risk by performing an OLS/2SLS fixed effects panel analysis on a pool of Eurozone countries and a SUR regression with Portugal and Spain covering the period 1999:11 until 2019:6. Our results show that the pricing of sovereign risk changed with the crisis and the "whatever it takes" speech of Mario Draghi. Specifically, market pricing of the Eurozone credit risk, liquidity risk and the risk appetite increased after the crisis and it relaxed afterwards. We did not find evidence of specific pricing regime changes after the speech in the Portuguese and Spanish case.

Sprache
Englisch

Erschienen in
Series: EconPol Working Paper ; No. 40

Klassifikation
Wirtschaft
Single Equation Models; Single Variables: Panel Data Models; Spatio-temporal Models
Financial Markets and the Macroeconomy
Monetary Policy
Financial Crises
Thema
Sovereign debt
Yield spreads
Crises
Unconventional Monetary Policy
Portugal
Spain

Ereignis
Geistige Schöpfung
(wer)
Afonso, António
Verdial, Nuno
Ereignis
Veröffentlichung
(wer)
ifo Institute - Leibniz Institute for Economic Research at the University of Munich
(wo)
Munich
(wann)
2020

Handle
Letzte Aktualisierung
10.03.2025, 11:42 MEZ

Datenpartner

Dieses Objekt wird bereitgestellt von:
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. Bei Fragen zum Objekt wenden Sie sich bitte an den Datenpartner.

Objekttyp

  • Arbeitspapier

Beteiligte

  • Afonso, António
  • Verdial, Nuno
  • ifo Institute - Leibniz Institute for Economic Research at the University of Munich

Entstanden

  • 2020

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