Was the European sovereign crisis self-fulfilling? Empirical evidence about the drivers of market sentiments

Abstract : We investigate the presence of self-fulfilling dynamics during the European sovereign crisis in the light of a theoretical model that we bring to the data. Our empirical framework allows us to empirically test the presence of self-fulfilling dynamics and to identify what may have driven the market sentiment during this crisis. To do so we estimate the probability of default of five European “peripheral” countries during January 2006 to September 2011 with a panel smooth threshold regression. Our estimation results suggest that (1) both the fundamentals and “animal spirit” ignited the European sovereign crisis; (2) we isolate the risk indicator through which investors’ belief coordinate.
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Journal of Macroeconomics, Elsevier, 2014, Volume 42, pp.38-51. 〈10.1016/j.jmacro.2014.07.001〉
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https://hal-neoma-bs.archives-ouvertes.fr/hal-01154350
Contributeur : Sandrine Palmer <>
Soumis le : jeudi 21 mai 2015 - 16:33:46
Dernière modification le : mardi 30 janvier 2018 - 17:50:04

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Catherine Bruneau, Anne-Laure Delatte, Julien Fouquau. Was the European sovereign crisis self-fulfilling? Empirical evidence about the drivers of market sentiments. Journal of Macroeconomics, Elsevier, 2014, Volume 42, pp.38-51. 〈10.1016/j.jmacro.2014.07.001〉. 〈hal-01154350〉

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