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Is the European Sovereign Crisis Self-Fulfilling?- Empirical Evidence About the Drivers of Market Sentiments
2012
Social Science Research Network
We assess the nature of the European sovereign crisis in the light of a model borrowed from the second generation of currency crises. We bring the theory to the data to empirically test the presence of selffulfilling 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
doi:10.2139/ssrn.2116240
fatcat:lmqanmh6q5hkpfcmkixpkv2nma