Macroeconomic imbalances,financial stress and fiscal vulnerability in the euro area before the debt crises: A market view |
| |
| Institution: | 1. Banque de France, CEPII, Aix-Marseille University, Aix-Marseille School of Economics, CNRS & EHESS France;2. Aix-Marseille University, Aix-Marseille School of Economics, CNRS & EHESS, France;1. Organisation for Economic Co-operation and Development, Paris, France;2. Harvard University, Cambridge, USA;3. Deutsche Bundesbank, Frankfurt am Main, Germany;1. Université des Antilles et de la Guyane, Laboratoire CEREGMIA. Universit é des Antilles et de La Guyane, Campus Schoelcher, B.P. 7209, 97275 Schoelcher Cédex (FWI), France;2. Aix-Marseille Université (Aix-Marseille School of Economics) & CNRS & EHESS, Banque de France, CEPII, Château Lafarge, route des Milles, 13290 Aix-en-Provence Les Milles, France;3. Université des Antilles et de la Guyane, Laboratoire CEREGMIA. Universit é des Antilles et de La Guyane, Campus Fouillole, 97159 Pointe-à-Pitre Guadeloupe (FWI), France;4. Morgan State University, Baltimore, MD, USA |
| |
| Abstract: | This paper tries to identify the macro-financial imbalances that exposed the euro area countries to fiscal stress before the outbreak of the European debt crises. Contrary to conventional wisdom that interprets fiscal stress in terms of fiscal sustainability, we focus on short-term fiscal vulnerability as reflected by the conditions of debt refinancing in the sovereign bond markets. We find that market-based indicators capturing risk perceptions of sovereign debts have been influenced by the indicators defined in the European Macroeconomic Imbalance Procedure (MIP) and by variables of financial vulnerability. When pricing the risk of sovereign bonds, the holders of government debts take into account not only the macroeconomic imbalances but also factors such as banking distress, corporate bond risk, liquidity risks in the interbank market or the volatility of stock prices. |
| |
| Keywords: | |
| 本文献已被 ScienceDirect 等数据库收录！ |
|
