Revisiting Sovereign Bond Spreads’ Determinants in the EMU

We study the determinants of 10-year sovereign bond yield spreads of 11 EMU member states, covering the lifetime of the euro, up until the end of 2014. Panel and SUR analyses coupled with qualitative variables show that the pricing of European debt has not been static across time and EMU countries, and market participants became increasingly aware of macro-economic and fiscal fundamentals

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Year of publication:	2016
Authors:	Afonso, António
Other Persons:	Reis, Manuel (contributor)
Publisher:	[2016]: [S.l.] : SSRN
Subject:	Eurozone \| Euro area \| Öffentliche Anleihe \| Public bond \| Zinsstruktur \| Yield curve \| EU-Staaten \| EU countries \| Schuldenkrise \| Debt crisis

Extent:	1 Online-Ressource (30 p)
Series:	ISEG Economics Department Working Paper ; No. WP 08/2016/DE/UECE
Type of publication:	Book / Working Paper
Language:	English
Notes:	Nach Informationen von SSRN wurde die ursprüngliche Fassung des Dokuments April 2, 2016 erstellt
Other identifiers:	10.2139/ssrn.2758135 [DOI]
Classification:	C23 - Models with Panel Data ; E43 - Determination of Interest Rates; Term Structure Interest Rates ; G12 - Asset Pricing ; H60 - National Budget, Deficit, and Debt. General ; E62 - Fiscal Policy; Public Expenditures, Investment, and Finance; Taxation
Source:	ECONIS - Online Catalogue of the ZBW

Persistent link: https://www.econbiz.de/10012995564