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, 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.
Item Type: |
Monograph
(Working Paper)
|
Date Type: |
Publication |
Status: |
Published |
Schools: |
Business (Including Economics) |
Subjects: |
H Social Sciences > HG Finance |
Uncontrolled Keywords: |
sovereign yields, government debt, panel analysis, credit ratings |
Publisher: |
European Central Bank |
ISBN: |
9789289915946 |
Date of First Compliant Deposit: |
30 March 2016 |
Last Modified: |
04 Jun 2017 08:08 |
URI: |
http://orca.cf.ac.uk/id/eprint/73331 |
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