DP8497 Spillovers from the Euro Area Sovereign Debt Crisis: A Macroeconometric Model Based Analysis

Author(s): Tamim Bayoumi, Francis Vitek
Publication Date: July 2011
Keyword(s): Contagion, Euro Area Sovereign Debt Crisis, Panel unobserved components model, Spillovers
JEL(s): E44, F41
Programme Areas: International Macroeconomics
Link to this Page: cepr.org/active/publications/discussion_papers/dp.php?dpno=8497

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.