Front Matter Page
European Department
Authorized for distribution by Luc Everaert
Contents
I. Introduction
II. Euro Area Sovereign Risk and the Crisis: Stylized Facts
III. Dissecting Common Risk
IV. Explaining Developments in Euro Area Sovereign Risk During The Crisis
V. Conclusion
Tables
1. Explaining Common Factor’s Dynamics
2. Panel Estimates
3. Seemingly Unrelated Regression Estimates, January 2003-January 2009
4. Seemingly Unrelated Regression Estimates, January 2003-March 2009
Figures
1. Selected Euro Area Sovereign Spreads, June 2008-09
2. Dispersion in Euro Area Sovereign Spreads, January 2001-June 2009
3. Headline Deficit: Contributions from Automatic Stabilizers and Discretionary Measures
4. Up-front Government Financing Need to Shore Up the Financial Sector
5. From Credit Risk to Sovereign Risk: The Case of Ireland
6. Sovereign Spreads and Financial EDFs in Euro Area Countries
7. Estimated Common Component in Sovereign Spreads
8. A Preliminary Look at the Determinants of Spreads Behavior
9. Contributions to the Change in Spreads, January 2003-January 2009
10. Contributions to the Change in Spreads, January 2003-March 2009
References