Data for: Our currency, your problem? The global effects of the euro debt crisis

Abstract of associated article: In this paper, I look at the global effects of the euro debt crisis, using an event study approach. After identifying a number of euro crisis events in the period that goes from 2010 to 2012, I analyse their impact on equity returns, exchange rates and government bond yields in 40 non-euro area countries. The main finding of this study is that euro debt crisis events have contributed to a rise in global risk aversion accompanied by a fall in equity returns, mainly in the financial sector. Moreover, I find that the effect on bond yields is not statistically significant for the whole set of countries, but it has a significant - though small - impact on countries with a high risk rating. Finally, the paper also focuses on transmission channels by looking at how pre-determined country characteristics influence the strength and direction of the contagion effect. I find that the most consistent conduits of contagion are: (i) trade exposure to the euro area, (ii) EU membership, and (iii) whether a currency is pegged to the euro.

关联论文摘要：本文采用事件研究法，探讨欧元债务危机的全球影响。在梳理2010至2012年间多起欧元区危机事件后，本文分析了这些事件对40个非欧元区国家的股票收益率、汇率及政府债券收益率的影响。本研究的核心发现为：欧元债务危机事件推升了全球风险厌恶情绪，并导致股市收益率（尤其是金融板块）出现下滑。此外，本文发现，危机事件对全部样本国家债券收益率的影响在统计学上并不显著，但对风险评级较高的国家则存在显著且虽微弱但切实的影响。最后，本文还聚焦于危机传导渠道，通过考察事前确定的国家特征如何影响传染效应的强度与方向展开分析。本文发现，最为稳定的危机传导渠道包括：（1）对欧元区的贸易敞口；（2）欧盟成员国身份；（3）本国货币是否与欧元挂钩。