ABSTRACT

Financial crises are complex phenomena. Yet, at the cost of some simplifications, the literature has identified two main elements causing the crises: macroeconomic imbalances and institutional design flaws. Economists recognise that both play some role, but disagree on their strength. Using Bai and Perron’s technique and an EGARCH model we contribute to the debate on the European debt crisis by identifying break dates and changes in volatility in daily values of 10-year public bond interest rates for Greece, Italy and Spain. The results are then related to key political and institutional events. The results of our econometric exercise uncover the following facts: the crisis began in May 2010; worsened after summer 2011, as the European authorities hastened to restructure the Greek debt; improved during summer 2012, when the ECB approved the OMTs, a new programme for the purchase of bonds. On the whole, the results are compatible with an interpretation of the crisis that considers the institutional flaws as the main cause.

摘要

金融危机是复杂的现象。然而，以一些简化为代价，文献已经确定了导致危机的两个主要因素：宏观经济失衡和制度设计缺陷。经济学家承认两者都发挥了一定的作用，但对它们的优势存在分歧。使用 Bai 和 Perron 的技术和 EGARCH 模型，我们通过确定希腊、意大利和西班牙 10 年期公共债券利率的每日波动率的中断日期和波动性变化，为关于欧洲债务危机的辩论做出贡献。然后将结果与关键的政治和制度事件相关联。我们计量经济学的结果揭示了以下事实：危机始于 2010 年 5 月；2011 年夏季后恶化，因为欧洲当局急于重组希腊债务；2012 年夏季，当欧洲央行批准 OMT 时，情况有所改善，购买债券的新计划。总体而言，结果与将制度缺陷视为主要原因的危机解释相一致。