{"id":123632,"date":"2024-01-23T08:40:38","date_gmt":"2024-01-23T07:40:38","guid":{"rendered":"https:\/\/www.wifo.ac.at\/publication\/123632\/"},"modified":"2025-10-22T22:07:07","modified_gmt":"2025-10-22T20:07:07","slug":"contagion-across-eurozones-sovereign-spreads-and-the-core-periphery-divide","status":"publish","type":"publication","link":"https:\/\/www.wifo.ac.at\/en\/publication\/123632\/","title":{"rendered":"Contagion across Eurozone's sovereign spreads and the core-periphery divide"},"content":{"rendered":"","protected":false},"featured_media":0,"template":"","class_list":["post-123632","publication","type-publication","status-publish","hentry"],"acf":{"subtitle":"","text":"This paper investigates the causes of disproportionate increases of sovereign yields with respect to the interest rate on the 10 years German Bund within the Eurozone. Empirical evidence drawn from the Bank for International Settlements dataset on banks' portfolios shows that rapid financial integration, following the launch of the monetary union, resulted in excess exposure of core countries' banks in the peripheral countries' financial assets. In order to endogenise the possibility of contagion effects, we conduct econometric estimates through a Global Vector Autoregressive model, where each country's spread depends upon all Eurozone countries' spreads. Results show that after the burst of the financial crisis the core countries' sovereign yields are essentially determined by the international risk aversion, whereas the spreads of peripheral countries mainly depend on fundamentals, namely the public debt to GDP ratio and the real effective exchange rate values with respect to the Eurozone average. These results are supported by the estimate of an impulse response analysis. Macroeconomic failures in public finances and competitiveness seem to originate the exceptional increases in sovereign spreads of the periphery, through a contagion effect which is limited to this group of Eurozone countries.","onlinedate":"2016-02-01 01:00:00","lang":"English","publication_series":"","publication_date":"20160201","publication_date_year":"","publication_date_full":false,"publication_num_pages":"","keywords":"[\"Contagion\",\"International risk aversion\",\"Monetary union\",\"Sovereign bond spreads\"]","jelcodes":"[]","related_publications":"[]","pdf":null,"zip":null,"link":"http:\/\/www.springer.com\/10663","monthly_report":false,"monthly_report_main":false,"monthly_report_volume":"43","monthly_report_pages":"197-213","monthly_report_pages_sort":"197","issue":"1","journal":"Empirica","publisher":"","invisible":false,"external":true,"embargo_date":null,"types":[83083],"research_groups":[3500],"collaboration":"","persons":[15171,15173,15175],"persons_data":"[{\"personId\":15171,\"personName\":\"Elisabetta Croci Angelini\",\"organisationNames\":[]},{\"personId\":15173,\"personName\":\"Francesco Farina\",\"organisationNames\":[]},{\"personId\":15175,\"personName\":\"Enzo Valentini\",\"organisationNames\":[]}]","clients":[],"subclients":[],"partners":[],"topics":[],"host_publication_title":"","host_publication_subtitle":"","place_of_publication":"","host_publication_editors":"[]","type_description":"","output_media":"","chapter":"","article_number":"","scientific_assistance":"[]","scientific_review":"[]","version":"","release_date":null,"expiration_date":null,"surveyor":"","research_assistance":"","edv":"","additional_info_de":"","additional_info_en":""},"yoast_head":"<!-- This site is optimized with the Yoast SEO Premium plugin v27.3 (Yoast SEO v27.3) - https:\/\/yoast.com\/product\/yoast-seo-premium-wordpress\/ -->\n<title>Contagion across Eurozone&#039;s sovereign spreads and the core-periphery divide - WIFO<\/title>\n<meta name=\"robots\" content=\"index, follow, max-snippet:-1, max-image-preview:large, max-video-preview:-1\" \/>\n<link rel=\"canonical\" href=\"https:\/\/www.wifo.ac.at\/en\/publication\/123632\/\" \/>\n<meta property=\"og:locale\" content=\"en_US\" \/>\n<meta property=\"og:type\" content=\"article\" \/>\n<meta property=\"og:title\" content=\"Contagion across Eurozone&#039;s sovereign spreads and the core-periphery divide\" \/>\n<meta property=\"og:url\" content=\"https:\/\/www.wifo.ac.at\/en\/publication\/123632\/\" \/>\n<meta property=\"og:site_name\" content=\"WIFO\" \/>\n<meta property=\"article:publisher\" content=\"https:\/\/www.facebook.com\/WIFOat\/\" \/>\n<meta property=\"article:modified_time\" content=\"2025-10-22T20:07:07+00:00\" \/>\n<meta property=\"og:image\" content=\"https:\/\/www.wifo.ac.at\/wp-content\/uploads\/2024\/05\/WIFO-Gebaeude-FotoAlexanderMueller-www.alexandermueller.at-IMG_6326-Bearbeitet-1.jpg\" \/>\n\t<meta property=\"og:image:width\" content=\"1920\" \/>\n\t<meta property=\"og:image:height\" content=\"1280\" \/>\n\t<meta property=\"og:image:type\" content=\"image\/jpeg\" \/>\n<meta name=\"twitter:card\" content=\"summary_large_image\" \/>\n<meta name=\"twitter:site\" content=\"@WIFOat\" \/>\n<script type=\"application\/ld+json\" class=\"yoast-schema-graph\">{\"@context\":\"https:\\\/\\\/schema.org\",\"@graph\":[{\"@type\":\"WebPage\",\"@id\":\"https:\\\/\\\/www.wifo.ac.at\\\/en\\\/publication\\\/123632\\\/\",\"url\":\"https:\\\/\\\/www.wifo.ac.at\\\/en\\\/publication\\\/123632\\\/\",\"name\":\"Contagion across Eurozone's sovereign spreads and the core-periphery divide - WIFO\",\"isPartOf\":{\"@id\":\"https:\\\/\\\/www.wifo.ac.at\\\/en\\\/#website\"},\"datePublished\":\"2024-01-23T07:40:38+00:00\",\"dateModified\":\"2025-10-22T20:07:07+00:00\",\"breadcrumb\":{\"@id\":\"https:\\\/\\\/www.wifo.ac.at\\\/en\\\/publication\\\/123632\\\/#breadcrumb\"},\"inLanguage\":\"en-US\",\"potentialAction\":[{\"@type\":\"ReadAction\",\"target\":[\"https:\\\/\\\/www.wifo.ac.at\\\/en\\\/publication\\\/123632\\\/\"]}]},{\"@type\":\"BreadcrumbList\",\"@id\":\"https:\\\/\\\/www.wifo.ac.at\\\/en\\\/publication\\\/123632\\\/#breadcrumb\",\"itemListElement\":[{\"@type\":\"ListItem\",\"position\":1,\"name\":\"Startseite\",\"item\":\"https:\\\/\\\/www.wifo.ac.at\\\/en\\\/\"},{\"@type\":\"ListItem\",\"position\":2,\"name\":\"Contagion across Eurozone's sovereign spreads and the core-periphery divide\"}]},{\"@type\":\"WebSite\",\"@id\":\"https:\\\/\\\/www.wifo.ac.at\\\/en\\\/#website\",\"url\":\"https:\\\/\\\/www.wifo.ac.at\\\/en\\\/\",\"name\":\"\u00d6sterreichisches Institut f\u00fcr Wirtschaftsforschung\",\"description\":\"\",\"publisher\":{\"@id\":\"https:\\\/\\\/www.wifo.ac.at\\\/en\\\/#organization\"},\"alternateName\":\"WIFO\",\"potentialAction\":[{\"@type\":\"SearchAction\",\"target\":{\"@type\":\"EntryPoint\",\"urlTemplate\":\"https:\\\/\\\/www.wifo.ac.at\\\/en\\\/?s={search_term_string}\"},\"query-input\":{\"@type\":\"PropertyValueSpecification\",\"valueRequired\":true,\"valueName\":\"search_term_string\"}}],\"inLanguage\":\"en-US\"},{\"@type\":\"Organization\",\"@id\":\"https:\\\/\\\/www.wifo.ac.at\\\/en\\\/#organization\",\"name\":\"\u00d6sterreichisches Institut f\u00fcr Wirtschaftsforschung\",\"alternateName\":\"WIFO\",\"url\":\"https:\\\/\\\/www.wifo.ac.at\\\/en\\\/\",\"logo\":{\"@type\":\"ImageObject\",\"inLanguage\":\"en-US\",\"@id\":\"https:\\\/\\\/www.wifo.ac.at\\\/en\\\/#\\\/schema\\\/logo\\\/image\\\/\",\"url\":\"https:\\\/\\\/www.wifo.ac.at\\\/wp-content\\\/uploads\\\/2024\\\/05\\\/WIFO_kurz_rechts-2-1920x412.jpg\",\"contentUrl\":\"https:\\\/\\\/www.wifo.ac.at\\\/wp-content\\\/uploads\\\/2024\\\/05\\\/WIFO_kurz_rechts-2-1920x412.jpg\",\"width\":2000,\"height\":429,\"caption\":\"\u00d6sterreichisches Institut f\u00fcr Wirtschaftsforschung\"},\"image\":{\"@id\":\"https:\\\/\\\/www.wifo.ac.at\\\/en\\\/#\\\/schema\\\/logo\\\/image\\\/\"},\"sameAs\":[\"https:\\\/\\\/www.facebook.com\\\/WIFOat\\\/\",\"https:\\\/\\\/x.com\\\/WIFOat\",\"https:\\\/\\\/linkedin.com\\\/company\\\/wifoat\\\/\",\"https:\\\/\\\/www.youtube.com\\\/@WIFO_at\"],\"description\":\"Das WIFO, 1927 von Friedrich August von Hayek und Ludwig von Mises zur Konjunkturanalyse gegr\u00fcndet, ist heute das f\u00fchrende Institut f\u00fcr angewandte empirische Wirtschaftsforschung in \u00d6sterreich mit starkem Engagement auf europ\u00e4ischer Ebene.\",\"email\":\"office@wifo.ac.at\",\"telephone\":\"+43 1 798 26 01 \u2013 0\",\"legalName\":\"\u00d6sterreichisches Institut f\u00fcr Wirtschaftsforschung\",\"foundingDate\":\"1927-01-02\",\"numberOfEmployees\":{\"@type\":\"QuantitativeValue\",\"minValue\":\"51\",\"maxValue\":\"200\"},\"publishingPrinciples\":\"https:\\\/\\\/www.wifo.ac.at\\\/institut\\\/mission-und-strategie\\\/\",\"ownershipFundingInfo\":\"https:\\\/\\\/www.wifo.ac.at\\\/institut\\\/organisation\\\/\",\"actionableFeedbackPolicy\":\"https:\\\/\\\/www.wifo.ac.at\\\/aktuelles\\\/presse\\\/\",\"correctionsPolicy\":\"https:\\\/\\\/www.wifo.ac.at\\\/institut\\\/kontakt\\\/\",\"ethicsPolicy\":\"https:\\\/\\\/www.wifo.ac.at\\\/institut\\\/evidenzbasierung-transparenz-und-unabhaengigkeit\\\/\",\"diversityPolicy\":\"https:\\\/\\\/www.wifo.ac.at\\\/institut\\\/gleichstellung\\\/\",\"diversityStaffingReport\":\"https:\\\/\\\/www.wifo.ac.at\\\/institut\\\/gleichstellung\\\/\"}]}<\/script>\n<!-- \/ Yoast SEO Premium plugin. -->","yoast_head_json":{"title":"Contagion across Eurozone's sovereign spreads and the core-periphery divide - WIFO","robots":{"index":"index","follow":"follow","max-snippet":"max-snippet:-1","max-image-preview":"max-image-preview:large","max-video-preview":"max-video-preview:-1"},"canonical":"https:\/\/www.wifo.ac.at\/en\/publication\/123632\/","og_locale":"en_US","og_type":"article","og_title":"Contagion across Eurozone's sovereign spreads and the core-periphery divide","og_url":"https:\/\/www.wifo.ac.at\/en\/publication\/123632\/","og_site_name":"WIFO","article_publisher":"https:\/\/www.facebook.com\/WIFOat\/","article_modified_time":"2025-10-22T20:07:07+00:00","og_image":[{"width":1920,"height":1280,"url":"https:\/\/www.wifo.ac.at\/wp-content\/uploads\/2024\/05\/WIFO-Gebaeude-FotoAlexanderMueller-www.alexandermueller.at-IMG_6326-Bearbeitet-1.jpg","type":"image\/jpeg"}],"twitter_card":"summary_large_image","twitter_site":"@WIFOat","schema":{"@context":"https:\/\/schema.org","@graph":[{"@type":"WebPage","@id":"https:\/\/www.wifo.ac.at\/en\/publication\/123632\/","url":"https:\/\/www.wifo.ac.at\/en\/publication\/123632\/","name":"Contagion across Eurozone's sovereign spreads and the core-periphery divide - WIFO","isPartOf":{"@id":"https:\/\/www.wifo.ac.at\/en\/#website"},"datePublished":"2024-01-23T07:40:38+00:00","dateModified":"2025-10-22T20:07:07+00:00","breadcrumb":{"@id":"https:\/\/www.wifo.ac.at\/en\/publication\/123632\/#breadcrumb"},"inLanguage":"en-US","potentialAction":[{"@type":"ReadAction","target":["https:\/\/www.wifo.ac.at\/en\/publication\/123632\/"]}]},{"@type":"BreadcrumbList","@id":"https:\/\/www.wifo.ac.at\/en\/publication\/123632\/#breadcrumb","itemListElement":[{"@type":"ListItem","position":1,"name":"Startseite","item":"https:\/\/www.wifo.ac.at\/en\/"},{"@type":"ListItem","position":2,"name":"Contagion across Eurozone's sovereign spreads and the core-periphery divide"}]},{"@type":"WebSite","@id":"https:\/\/www.wifo.ac.at\/en\/#website","url":"https:\/\/www.wifo.ac.at\/en\/","name":"\u00d6sterreichisches Institut f\u00fcr Wirtschaftsforschung","description":"","publisher":{"@id":"https:\/\/www.wifo.ac.at\/en\/#organization"},"alternateName":"WIFO","potentialAction":[{"@type":"SearchAction","target":{"@type":"EntryPoint","urlTemplate":"https:\/\/www.wifo.ac.at\/en\/?s={search_term_string}"},"query-input":{"@type":"PropertyValueSpecification","valueRequired":true,"valueName":"search_term_string"}}],"inLanguage":"en-US"},{"@type":"Organization","@id":"https:\/\/www.wifo.ac.at\/en\/#organization","name":"\u00d6sterreichisches Institut f\u00fcr Wirtschaftsforschung","alternateName":"WIFO","url":"https:\/\/www.wifo.ac.at\/en\/","logo":{"@type":"ImageObject","inLanguage":"en-US","@id":"https:\/\/www.wifo.ac.at\/en\/#\/schema\/logo\/image\/","url":"https:\/\/www.wifo.ac.at\/wp-content\/uploads\/2024\/05\/WIFO_kurz_rechts-2-1920x412.jpg","contentUrl":"https:\/\/www.wifo.ac.at\/wp-content\/uploads\/2024\/05\/WIFO_kurz_rechts-2-1920x412.jpg","width":2000,"height":429,"caption":"\u00d6sterreichisches Institut f\u00fcr Wirtschaftsforschung"},"image":{"@id":"https:\/\/www.wifo.ac.at\/en\/#\/schema\/logo\/image\/"},"sameAs":["https:\/\/www.facebook.com\/WIFOat\/","https:\/\/x.com\/WIFOat","https:\/\/linkedin.com\/company\/wifoat\/","https:\/\/www.youtube.com\/@WIFO_at"],"description":"Das WIFO, 1927 von Friedrich August von Hayek und Ludwig von Mises zur Konjunkturanalyse gegr\u00fcndet, ist heute das f\u00fchrende Institut f\u00fcr angewandte empirische Wirtschaftsforschung in \u00d6sterreich mit starkem Engagement auf europ\u00e4ischer Ebene.","email":"office@wifo.ac.at","telephone":"+43 1 798 26 01 \u2013 0","legalName":"\u00d6sterreichisches Institut f\u00fcr Wirtschaftsforschung","foundingDate":"1927-01-02","numberOfEmployees":{"@type":"QuantitativeValue","minValue":"51","maxValue":"200"},"publishingPrinciples":"https:\/\/www.wifo.ac.at\/institut\/mission-und-strategie\/","ownershipFundingInfo":"https:\/\/www.wifo.ac.at\/institut\/organisation\/","actionableFeedbackPolicy":"https:\/\/www.wifo.ac.at\/aktuelles\/presse\/","correctionsPolicy":"https:\/\/www.wifo.ac.at\/institut\/kontakt\/","ethicsPolicy":"https:\/\/www.wifo.ac.at\/institut\/evidenzbasierung-transparenz-und-unabhaengigkeit\/","diversityPolicy":"https:\/\/www.wifo.ac.at\/institut\/gleichstellung\/","diversityStaffingReport":"https:\/\/www.wifo.ac.at\/institut\/gleichstellung\/"}]}},"_links":{"self":[{"href":"https:\/\/www.wifo.ac.at\/en\/wp-json\/wp\/v2\/publication\/123632","targetHints":{"allow":["GET"]}}],"collection":[{"href":"https:\/\/www.wifo.ac.at\/en\/wp-json\/wp\/v2\/publication"}],"about":[{"href":"https:\/\/www.wifo.ac.at\/en\/wp-json\/wp\/v2\/types\/publication"}],"version-history":[{"count":1,"href":"https:\/\/www.wifo.ac.at\/en\/wp-json\/wp\/v2\/publication\/123632\/revisions"}],"predecessor-version":[{"id":432527,"href":"https:\/\/www.wifo.ac.at\/en\/wp-json\/wp\/v2\/publication\/123632\/revisions\/432527"}],"acf:post":[{"embeddable":true,"href":"https:\/\/www.wifo.ac.at\/en\/wp-json\/wp\/v2\/external_person\/15175"},{"embeddable":true,"href":"https:\/\/www.wifo.ac.at\/en\/wp-json\/wp\/v2\/external_person\/15173"},{"embeddable":true,"href":"https:\/\/www.wifo.ac.at\/en\/wp-json\/wp\/v2\/external_person\/15171"},{"embeddable":true,"href":"https:\/\/www.wifo.ac.at\/en\/wp-json\/wp\/v2\/research_group\/3500"},{"embeddable":true,"href":"https:\/\/www.wifo.ac.at\/en\/wp-json\/wp\/v2\/publication_type\/83083"}],"wp:attachment":[{"href":"https:\/\/www.wifo.ac.at\/en\/wp-json\/wp\/v2\/media?parent=123632"}],"curies":[{"name":"wp","href":"https:\/\/api.w.org\/{rel}","templated":true}]}}