Modelling the Dynamics of Sovereign Risk Premium [Modelarea dinamicii primei de risc suveran]

This paper investigates the main determinants of the market-assessed sovereign risk premium in Romania, measured by the Option-Adjusted Spreads, from 2003 to 2013. The results show that the dynamics of sovereign spreads can be explained by both risk aversion indicators and macroeconomic fundamentals. Domestic fundamentals are found to be significant in explaining those spreads.

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Year of publication:	2014
Authors:	Elena, Fudulache Adina
Published in:	Revista OEconomica. - Societatea Romana de Economie - SOREC. - 2014, 02
Publisher:	Societatea Romana de Economie - SOREC
Subject:	sovereign spreads \| macroeconomic fundamentals \| European volatility \| financial crisis \| risk premium shocks

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Extent:	application/pdf
Type of publication:	Article
Classification:	C22 - Time-Series Models ; C32 - Time-Series Models ; E43 - Determination of Interest Rates; Term Structure Interest Rates ; E44 - Financial Markets and the Macroeconomy ; E58 - Central Banks and Their Policies ; F34 - International Lending and Debt Problems ; G12 - Asset Pricing
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10010965629