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

33 Pages Posted: 28 Jul 2011

See all articles by Tamim Bayoumi

Tamim Bayoumi

International Monetary Fund (IMF); Centre for Economic Policy Research (CEPR)

Francis Vitek

International Monetary Fund (IMF)

Date Written: July 2011

Abstract

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.

Keywords: Contagion, Euro Area Sovereign Debt Crisis, Panel unobserved components model, Spillovers

JEL Classification: E44, F41

Suggested Citation

Bayoumi, Tamim and Vitek, Francis, Spillovers from the Euro Area Sovereign Debt Crisis: A Macroeconometric Model Based Analysis (July 2011). CEPR Discussion Paper No. DP8497. Available at SSRN: https://ssrn.com/abstract=1898003

Tamim Bayoumi (Contact Author)

International Monetary Fund (IMF) ( email )

700 19th Street NW
Washington, DC 20431
United States
202-623-6333 (Phone)
202-623-4795 (Fax)

Centre for Economic Policy Research (CEPR)

London
United Kingdom

Francis Vitek

International Monetary Fund (IMF) ( email )

700 19th Street, N.W.
Washington, DC 20431
United States

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