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Sovereign risk premiums in the European Government bond market

Kerstin Bernoth; Jürgen von Hagen; Ludger Schuknecht

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 premiums which increase with fiscal imbalances and depend negatively on the issuer's relative bond market size. The start of the European Monetary Union has shifted market attention to debt service payments as the key measure of indebtedness and eliminated liquidity premiums in the euro area.

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Year of publication:	2006
Authors:	Bernoth, Kerstin ; Hagen, Jürgen von ; Schuknecht, Ludger
Publisher:	Mannheim [u.a.] : Sonderforschungsbereich/Transregio 15
Subject:	asset pricing \| determination of interest rates \| fiscal policy \| government debt \| EU-Staaten \| EU countries \| Risikoprämie \| Risk premium \| Öffentliche Schulden \| Public debt \| Öffentliche Anleihe \| Public bond \| Finanzpolitik \| Fiscal policy \| Rentenmarkt \| Bond market \| CAPM \| Zins \| Interest rate \| Länderrisiko \| Country risk \| Zinsstruktur \| Yield curve

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Extent:	Online-Ressource (29 S.) graph. Darst.
Series:	Discussion papers / Governance and the Efficiency of Economic Systems. - Bonn, ZDB-ID 2499250-1. - Vol. 151
Type of publication:	Book / Working Paper
Type of publication (narrower categories):	Graue Literatur ; Non-commercial literature ; Arbeitspapier ; Working Paper
Language:	English
Notes:	Systemvoraussetzungen: Acrobat Reader
Other identifiers:	hdl:10419/94091 [Handle]
Classification:	G12 - Asset Pricing ; E43 - Determination of Interest Rates; Term Structure Interest Rates ; E62 - Fiscal Policy; Public Expenditures, Investment, and Finance; Taxation ; H63 - Debt; Debt Management
Source:	ECONIS - Online Catalogue of the ZBW

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