Résumé en anglais

We assess the nature of the European sovereign crisis in the light of a model borrowed from the second generation of currency crises. We bring the theory to the data to empirically test the presence of self-fulfilling dynamics and to identify what may have driven the market sentiment during this crisis. To do so we estimate the probability of default of five European ”peripheral” countries during January 2006 to September 2011 with a panel smooth threshold regression. Our estimation results suggest that 1/ both the fundamentals and ”animal spirit” ignited the European sovereign crisis; 2/ the sovereign Credit Defa ult Swap market (CDS), the rating agencies and the CDS of the banking sector have played dominant roles in driving market sentiments.