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Please use this identifier to cite or link to this item: http://hdl.handle.net/10400.5/4877

Title: The determinants of sovereign bond yield spreads in the EMU
Authors: Afonso, António
Arghyrou, Michael G.
Kontonikas, Alexandros
Keywords: Sovereign yields
Government debt
Panel analysis
Credit ratings
Issue Date: 2012
Publisher: ISEG - Departamento de Economia
Citation: Afonso, António, Michael G. Arghyrou and Alexandros Kontonikas. 2012. "The determinants of sovereign bond yield spreads in the EMU". Instituto Superior de Economia e Gestão - ISEG-DE working papers nº36 - 2012
Series/Report no.: ISEG-DE working papers;nº 36/2012/DE/UECE
Abstract: 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, unlike the period preceding the global financial crisis, European government bond yield spreads are wellexplained by macro- and fiscal fundamentals 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 the risk of the crisis’ transmission among EMU member states, international 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.
URI: http://hdl.handle.net/10400.5/4877
ISSN: 0874-4548
Publisher version: https://aquila.iseg.utl.pt/aquila/getFile.do?method=getFile&fileId=311130&contentContextPath_PATH=/departamentos/ec/lateral/menu-working-papers/nova-serie/2012&_request_checksum_=d330147e601b53e4d4ee4782af857bad1a0ac44e
Appears in Collections:UECE - Documentos de Trabalho / UECE - Working Papers
DE - Documentos de trabalho / Working Papers

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