Arbeitspapier
Sovereign risk premia in the European government bond market
This paper provides a study of bond yield differentials among EU eurobonds issued between 1991 and 2002. Interest differentials between bonds issued by EU countries and Germany or the USA contain risk premia which increase with the debt, deficit and debt-service ratio and depend positively on the issuer’s relative bond market size. Global investors’ attitude towards credit risk, measured as the yield spread between low grade US corporate bonds and government bonds, also affects bond yield spreads between EU countries and Germany/USA. The start of the European Monetary Union had significant effects on the bond pricing of the member states.
- Sprache
-
Englisch
- Erschienen in
-
Series: ZEI Working Paper ; No. B 26-2003
- Klassifikation
-
Wirtschaft
Asset Pricing; Trading Volume; Bond Interest Rates
Interest Rates: Determination, Term Structure, and Effects
Fiscal Policy
National Debt; Debt Management; Sovereign Debt
- Thema
-
asset pricing
determination of interest rates
fiscal policy
government debt
Euro-Anleihe
Öffentliche Anleihe
Capital Asset Pricing Model
Länderrisiko
Risikoprämie
Rentenmarkt
- Ereignis
-
Geistige Schöpfung
- (wer)
-
Bernoth, Kerstin
von Hagen, Jürgen
Schuknecht, Ludger
- Ereignis
-
Veröffentlichung
- (wer)
-
Rheinische Friedrich-Wilhelms-Universität Bonn, Zentrum für Europäische Integrationsforschung (ZEI)
- (wo)
-
Bonn
- (wann)
-
2004
- Handle
- Letzte Aktualisierung
-
10.03.2025, 11:43 MEZ
Datenpartner
Dieses Objekt wird bereitgestellt von:
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Objekttyp
- Arbeitspapier
Beteiligte
- Bernoth, Kerstin
- von Hagen, Jürgen
- Schuknecht, Ludger
- Rheinische Friedrich-Wilhelms-Universität Bonn, Zentrum für Europäische Integrationsforschung (ZEI)
Entstanden
- 2004
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