Bond yields, sovereign risk and maturity structure

Artikel

The aim of this paper is to analyze the relation between maturity structure, sovereign bond yields and sovereign risk in the Economic and Monetary Union for the period of 1990-2013. The results confirm the existence of an inverse relationship between sovereign bond yields, sovereign risk and the maturity structure of sovereign debt, regardless of the proxy that is used to measure sovereign risk and the time variance of the variables employed. The results indicate that risk shortens the maturity structure of sovereign debt because it reduces the stock of long-term debt. The relationship between maturity structure and sovereign bond yields differs depending on the risk of the countries analyzed (non-monotonic relationship) and the differences between peripheral and core countries are greater for higher levels of the yields. If we control for the indebtedness level of these countries, the results show that the relationship between the sovereign bond yields and maturity strengthens as the debt level increases.

Angaben zum Objekt

• Sprache: Englisch

Verweise und Beziehungen

• Erschienen in: Journal: Risks ; ISSN: 2227-9091 ; Volume: 6 ; Year: 2018 ; Issue: 4 ; Pages: 1-25 ; Basel: MDPI

Klassifikation und Themen

• Klassifikation: Wirtschaft ; Asset Pricing; Trading Volume; Bond Interest Rates ; National Debt; Debt Management; Sovereign Debt ; Multiple or Simultaneous Equation Models: Panel Data Models; Spatio-temporal Models
• Thema: maturity structure ; sovereign risk ; debt maturity ; sovereign debt market

Beteiligte, Orts- und Zeitangaben

• Ereignis: Geistige Schöpfung
• (wer): González-Fernández, Marcos ; González-Velasco, Carmen
• Ereignis: Veröffentlichung
• (wer): MDPI
• (wo): Basel
• (wann): 2018

Weitere Informationen

• DOI: doi:10.3390/risks6040109
• Handle: http://hdl.handle.net/10419/195878
• Letzte Aktualisierung: 10.03.2025, 11:42 MEZ