Economics Research Seminar
Contagion in Government Bond Spreads Among Euro Area Countries
Sponsored by: Economics Department
Speaker(s): Purba Mukerji, Associate Prof., Connecticut College
Date & Time: Oct 2, 2013 2:15 PM - 3:45 PM
This paper takes a spatial modeling approach in specifying and testing for contagion in government bond spreads among euro area countries. Our approach enables us to estimate certain asymmetries such as the magnitude of bond spread contagion of one country upon others, as well as how that country, in turn, is affected by events in neighboring countries. The approach also enables us to test for the significance of contagion, and then estimate its extent, in a formal, straightforward way. As a preview, we find that contagion is a statistically significant factor in explaining the level of government bond spreads and, furthermore, its effects are not uniform across the countries considered. We also identify a set of fundamental factors determining government bond spreads in euro area countries, and describe their consequence spatial interactions. As a corollary, we suggest policies that can be undertaken for medium term reductions of government bond spreads.
Please join the Economics Department for a research seminar. This event is open to all Case Western Reserve University faculty, Ph.D. students, economic majors and minors, and those interested in economics research.
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