Data and Code for: SOVEREIGN DEBT AND FISCAL INTEGRATION IN THE EUROPEAN UNION

Principal Investigator(s): View help for Principal Investigator(s) Zsolt Darvas, Bruegel; Corvinus University of Budapest; Lennard Welslau, University of Copenhagen; Danmarks Nationalbank; Jeromin Zettelmeyer, Bruegel; CEPR

Version: View help for Version V1

Name	File Type	Size	Last Modified
aearep-8245			10/22/2025 11:30:AM
CDS_SOURCES.xlsx	application/vnd.openxmlformats-officedocument.spreadsheetml.sheet	9.6 KB	09/26/2025 03:24:AM
FRF_SOURCES.xlsx	Unknown	7.6 KB	09/26/2025 03:17:AM
Figure 6.jpg	Unknown	619.7 KB	09/23/2025 08:25:AM
cds_data.csv	text/csv	135.7 KB	09/26/2025 03:17:AM
rolling_window_results_aggregate.csv	Unknown	1.4 KB	09/23/2025 08:24:AM

Project Citation:

Darvas, Zsolt , Welslau, Lennard, and Zettelmeyer, Jeromin . Data and Code for: SOVEREIGN DEBT AND FISCAL INTEGRATION IN THE EUROPEAN UNION. Nashville, TN: American Economic Association [publisher], 2025. Ann Arbor, MI: Inter-university Consortium for Political and Social Research [distributor], 2025-11-04. https://doi.org/10.3886/E238402V1

Project Description

Summary: This paper examines sovereign debt risks in the European Union, which has centralized monetary policy within the euro area, while fiscal policies remain national. Institutional reforms, including common banking supervision, the European Stability Mechanism, the European Central Bank’s market-stabilisation instruments, and a new set of fiscal rules, have mitigated vulnerabilities arising from the interdependence between banks and sovereigns. Stochastic debt sustainability analysis suggests that debt remains sustainable in most EU countries, although substantial fiscal adjustments will be required in some cases. Fiscal reaction function estimates, however, reveal a weakening policy response to rising debt, signalling increased medium-term risks. The paper argues that further adaptation of fiscal rules is needed to encourage investment and provide greater flexibility for low-risk countries. Expanding the pool of common EU safe assets could also help break the bank-sovereign doom-loop, attract foreign investors, and strengthen fiscal sustainability.

Scope of Project

Subject Terms: Sovereign Debt; Fiscal Integration; European Economic and Monetary Union; Bank-Sovereign Nexus; Debt Sustainability Analysis; Fiscal Reaction Function; Fiscal Rules

JEL Classification:
      E58 Central Banks and Their Policies
      E62 Fiscal Policy
      F34 International Lending and Debt Problems
      F36 Financial Aspects of Economic Integration
      H63 National Debt; Debt Management; Sovereign Debt

Geographic Coverage: Europe

Time Period(s): 2012 – 2024

Collection Date(s): 4/2025 – 4/2025

Universe: Countries in the European Union, the UK, and the USA; Banks in the European Union

Data Type(s): aggregate data; other

Methodology

Data Source: National and European statistical agencies, IMF WEO, financial market data (Bloomberg, Eikon Refinitiv); detailed Source descriptions in the replication package

Unit(s) of Observation: Countries and banks, yearly economic indicators and daily CDS spreads

Geographic Unit: Country, Bank

Related Publications

Download this project

Published Versions

V1 [2025-11-04]

Export Metadata

Dublin Core

DDI 2.5

Report a Problem

Found a serious problem with the data, such as disclosure risk or copyrighted content? Let us know.

This material is distributed exactly as received from the data depositor. As of April 2026, depositors are required to submit study materials in accessible formats. ICPSR has not reviewed, checked, or processed this material. For additional information about the study, please contact the investigator(s) directly. If you have questions about the accessibility of materials distributed by ICPSR or require further assistance, please visit ICPSR's Accessibility Center.