Arbeitspapier
The determinants of sovereign bond yield spreads in the EMU
We use a panel of euro area countries to assess the determinants of long-term sovereign bond yield spreads over the period 1999.01-2010.12. We find that, on top of the fundamentals themselves, changes in the sensitivity of bond prices to fundamentals are also necessary to explain yields over the crisis period. We also find that the menu of macro and fiscal risks priced by markets has been significantly enriched since March 2009, including international financial risk and liquidity risk. Finally, we find that sovereign credit ratings are statistically significant in explaining spreads, yet compared to macro- and fiscal fundamentals their role is limited.
- ISBN
-
978-92-899-1594-6
- Sprache
-
Englisch
- Erschienen in
-
Series: ECB Working Paper ; No. 1781
- Klassifikation
-
Wirtschaft
Single Equation Models; Single Variables: Panel Data Models; Spatio-temporal Models
Fiscal Policy
National Government Expenditures and Related Policies: General
- Thema
-
credit ratings
Government debt
panel analysis
sovereign yields
- Ereignis
-
Geistige Schöpfung
- (wer)
-
Afonso, António
Arghyrou, Michael G.
Kontonikas, Alexandros
- Ereignis
-
Veröffentlichung
- (wer)
-
European Central Bank (ECB)
- (wo)
-
Frankfurt a. M.
- (wann)
-
2015
- Handle
- Letzte Aktualisierung
-
10.03.2025, 11:46 MEZ
Datenpartner
Dieses Objekt wird bereitgestellt von:
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. Bei Fragen zum Objekt wenden Sie sich bitte an den Datenpartner.
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. Bei Fragen zum Objekt wenden Sie sich bitte an den Datenpartner.
Objekttyp
- Arbeitspapier
Beteiligte
- Afonso, António
- Arghyrou, Michael G.
- Kontonikas, Alexandros
- European Central Bank (ECB)
Entstanden
- 2015
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