This study analyses the time-varying determinants of sovereign bond yield spreads between Q1/1999 and Q1/2010. Before the financial crisis, which started end of 2007, financial markets seemed to have had limited assessment of credit risks in sovereign bond markets and risk aversion did not play...

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...

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...