اسپانیا و بحران بدهی های مستقل در اروپا

This paper presents empirical evidence indicating that German and Spanish government bond yields are cointegrated. Thus, a stable long-term equilibrium relationship among these two variables seems to exist. However, there is also empirical evidence for the existence of a structural break in early 2009. Following Basse, Friedrich and v. d. Schulenburg (2011) we interpret this finding as an indication that financial markets started to see a higher sovereign credit risk in Spain. The structural break may even signal some fears about the return of exchange rate risk. Given that the break date is quite early; our empirical findings could be an indication that bond markets are at least partially efficient.

This paper examines the European sovereign debt crisis focussing on Spain. The crisis which started in Iceland, Ireland and Greece meanwhile reached Portugal and Spain. This is of major importance because Spain due to its size is one of the major Eurozone countries. Cointegration analysis is utilized to examine the relationship between German and Spanish government bond yields in order to search for indications that the crisis has affected the market perception of sovereign credit risk. We also focus on timing issues following an approach suggested by Basse et al. (2011). This paper is structured as follows: Section 2 summarizes the economic developments in Spain. Section 3 briefly reviews the literature focussing on empirical studies. In Section 4 the methodology used is discussed and the data examined are introduced. Section 5 gives some information about our empirical findings. Section 6 then concludes.

We have found empirical evidence indicating that German and Spanish government bond yields are cointegrated. Therefore, a long-term equilibrium relationship among these two variables seems to exist. This result might be a sign for convergence among the two government bond markets (see Becker and Hall (2007)). However, there is also empirical evidence for the existence of a structural break in early 2009. Following Basse et al. (2011) we would interpret this finding as a hint indicating that financial markets started to see a higher sovereign credit risk in Spain. In fact, the structural break may even signal fears about the return of exchange rate risk. Financial markets do not have that much experience with this. However, the collapse of the Bretton Woods system leads to similar problems (see e.g. Eichengreen (1993), Basse (2006)). Given that the break date identified is quite early this could be a sign for bond markets at least being somewhat efficient.