Precedent · Credit
The Eurozone Sovereign-Debt Crisis
2010–2012
The euro-area sovereign-debt crisis. Greek, then peripheral (Portugal, Ireland, Spain, Italy) bond yields blew out as markets questioned euro-area solvency and redenomination risk, until Draghi's "whatever it takes" (July 2012) backstopped it. A sovereign-bank doom-loop and contagion episode.
The signature
Each variable's peak deviation from the pre-event baseline, with the curve shape, the lag before it moved, and how long the recovery ran.
| Variable | Peak deviation | Shape | Lag / Recovery | Confidence |
|---|---|---|---|---|
| High Yield OAS Peripheral + credit spreads blew out 2010-12 | +120% | U | 30d lag · 720d | high |
| VIX Vol spiked through the 2011 waves | +110% | Spike | 0d lag · 365d | high |
| S&P 500 2011 global selloff on contagion | −16% | U | 0d lag · 540d | high |
Methodology
Peripheral spreads exploded, euro-area equities sold off in waves (the 2011 global selloff), the euro weakened, and global vol spiked on contagion fears. The signature is the sovereign-bank doom loop + political-fragmentation risk of a currency union without fiscal union; resolution came from a central-bank backstop, not growth. Shapes: U (spreads, equities, multi-year), spike (vol).
What's different now
Read for fragmentation and sovereign-bank linkage. A monetary union without a fiscal one is structurally fragile under stress; watch peripheral spreads and any hint of redenomination risk. The backstop precedent (a credible lender of last resort) is what arrests these — its absence is the tail.