Bank of Italy research finds evidence of investors ‘waking up’ to sovereign risk


A working paper published today by the Bank of Italy examines whether the recent rise in sovereign spreads in the eurozone was caused by an irrational panic by investors, or a late realisation of real dangers.

In Pure or wake-up-call contagion? Another look at the EMU sovereign debt crisis, authors Raffaela Giordano, Marcello Pericoli and Pietro Tommasino use data on the 10-year government bond spread versus the German Bund for nine eurozone countries, from 2000 to 2011. They find investors

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