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How to prevent contagion during international debt crises

11th National Competition for Economic Research Grants

International economics

Senior Researcher : Antonio Moreno Ibáñez

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Research Centre or Institution : Universidad de Navarra. Pamplona.


The current European debt crisis has highlighted the importance for the different nations of preventing international financial contagion. While in northern European countries the cost of funding via public debt has barely risen, countries in the south have experienced a considerable rise in this cost, and in some cases are even finding it difficult to access international financial markets. This project analyses the two relevant directions of contagion, from one country to the rest of the international community and from the international crisis to national sovereign risk.

To carry out this analysis, tools employed in the financial markets, such as CoVaR and MES, will be used to calculate the contribution and exposure of a given country to the international financial crisis, based on the relevant macro-financial variables.

In both cases, a data panel analysis is carried out for over 45 countries for which we have daily data on the cost of long-term debt, as well as prices of CDSs for its debt from the middle of the last decade. Based on the results, specific tools are proposed to prevent contagion in the most effective manner, both at country level and from the perspective of international institutions (in particular the European Union).

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