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hal.structure.identifier
dc.contributor.authorBruneau, Catherine
HAL ID: 12188
*
hal.structure.identifier
dc.contributor.authorDelatte, Anne-Laure
HAL ID: 742712
ORCID: 0000-0001-5365-8429
*
hal.structure.identifier
dc.contributor.authorFouquau, Julien*
dc.date.accessioned2014-04-28T10:58:28Z
dc.date.available2014-04-28T10:58:28Z
dc.date.issued2014
dc.identifier.issn0164-0704
dc.identifier.urihttps://basepub.dauphine.fr/handle/123456789/13144
dc.language.isoenen
dc.subjectPanel Smooth Threshold Regression Models
dc.subjectEuropean sovereign crisis
dc.subjectMultiple equilibria
dc.subjectSelf-fulfilling crisis
dc.subjectCredit default swap
dc.subject.ddc339en
dc.subject.classificationjelE4en
dc.subject.classificationjelF3en
dc.subject.classificationjelF4en
dc.subject.classificationjelE6en
dc.subject.classificationjelH6en
dc.subject.classificationjelC23en
dc.titleWas the European sovereign crisis self-fulfilling? Empirical evidence about the drivers of market sentiments
dc.typeArticle accepté pour publication ou publié
dc.contributor.editoruniversityotherUniversité de Paris I;France
dc.description.abstractenWe 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.
dc.publisher.cityParisen
dc.relation.isversionofjnlnameJournal of Macroeconomics
dc.relation.isversionofjnlvol42
dc.relation.isversionofjnldate2014
dc.relation.isversionofjnlpages38-51
dc.relation.isversionofdoi10.1016/j.jmacro.2014.07.001
dc.relation.isversionofjnlpublisherElsevier
dc.subject.ddclabelMacroéconomieen
dc.description.submittednonen
dc.description.ssrncandidatenon
dc.description.halcandidatenon
dc.description.readershiprecherche
dc.description.audienceInternational
dc.relation.Isversionofjnlpeerreviewedoui
dc.date.updated2020-03-31T14:11:31Z
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