Arbeitspapier
Sovereign Risk Premiums in the European Government Bond Market
This paper provides a study of bond yield differentials among EU government bonds issued between 1993 and 2005 on the basis of a unique dataset of issue spreads in the US and DM (Euro) bond market. Interest differentials between bonds issued by EU countries and Germany or the USA contain risk premiums which increase with fiscal imbalances and depend negatively on the issuer's relative bond market size. The start of the European Monetary Union has shifted market attention to debt service payments as the key measure of indebtedness and eliminated liquidity premiums in the euro area.
- Language
-
Englisch
- Bibliographic citation
-
Series: SFB/TR 15 Discussion Paper ; No. 151
- Classification
-
Wirtschaft
Asset Pricing; Trading Volume; Bond Interest Rates
Interest Rates: Determination, Term Structure, and Effects
Fiscal Policy
National Debt; Debt Management; Sovereign Debt
- Subject
-
asset pricing
determination of interest rates
fiscal policy
government debt
- Event
-
Geistige Schöpfung
- (who)
-
Bernoth, Kerstin
von Hagen, Jürgen
Schuknecht, Ludger
- Event
-
Veröffentlichung
- (who)
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Sonderforschungsbereich/Transregio 15 - Governance and the Efficiency of Economic Systems (GESY)
- (where)
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München
- (when)
-
2006
- DOI
-
doi:10.5282/ubm/epub.13400
- Handle
- URN
-
urn:nbn:de:bvb:19-epub-13400-1
- Last update
-
10.03.2025, 11:42 AM CET
Data provider
This object is provided by:
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. If you have any questions about the object, please contact the data provider.
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. If you have any questions about the object, please contact the data provider.
Object type
- Arbeitspapier
Associated
- Bernoth, Kerstin
- von Hagen, Jürgen
- Schuknecht, Ludger
- Sonderforschungsbereich/Transregio 15 - Governance and the Efficiency of Economic Systems (GESY)
Time of origin
- 2006
Other Objects (12)
Sovereign risk premia in the European government bond market
Sovereign risk premia in the European government bond market
Sovereign bond yield spreads: A time-varying coefficient approach
Sovereign bond yield spreads: a time-varying coefficient approach
Exchange rates, foreign currency exposure and sovereign risk
Fool the markets?: Creative accounting, fiscal transparency and sovereign risk premia
Fool the markets? Creative accounting, fiscal transparency and sovereign risk premia
Keine Angst vor Inflationsgespenstern aus den USA
Zinsspreads auf europäische Staatsanleihen: Implikationen und Lehren aus der europäischen Schuldenkrise
Die EZB muss sich den Herausforderungen stellen, ohne sich politisch einzumischen : Interview
Kommt die Finanztransaktionssteuer? : Kommentar
Exchange rates, foreign currency exposure and sovereign risk
Sovereign risk premia in the European government bond market
Sovereign risk premia in the European government bond market
Sovereign bond yield spreads: A time-varying coefficient approach
Sovereign bond yield spreads: a time-varying coefficient approach
Exchange rates, foreign currency exposure and sovereign risk
Fool the markets?: Creative accounting, fiscal transparency and sovereign risk premia
Fool the markets? Creative accounting, fiscal transparency and sovereign risk premia
Keine Angst vor Inflationsgespenstern aus den USA
Zinsspreads auf europäische Staatsanleihen: Implikationen und Lehren aus der europäischen Schuldenkrise
Die EZB muss sich den Herausforderungen stellen, ohne sich politisch einzumischen : Interview
Kommt die Finanztransaktionssteuer? : Kommentar
Exchange rates, foreign currency exposure and sovereign risk
Sovereign risk premia in the European government bond market
Sovereign risk premia in the European government bond market
Sovereign bond yield spreads: A time-varying coefficient approach
Sovereign bond yield spreads: a time-varying coefficient approach
Exchange rates, foreign currency exposure and sovereign risk
Fool the markets?: Creative accounting, fiscal transparency and sovereign risk premia
Fool the markets? Creative accounting, fiscal transparency and sovereign risk premia
Keine Angst vor Inflationsgespenstern aus den USA
Zinsspreads auf europäische Staatsanleihen: Implikationen und Lehren aus der europäischen Schuldenkrise
Die EZB muss sich den Herausforderungen stellen, ohne sich politisch einzumischen : Interview
Kommt die Finanztransaktionssteuer? : Kommentar