D’Agostino, Antonello; Ehrmann, Michael - In: Journal of Banking & Finance 47 (2014) C, pp. 155-176
Against the background of the current debate about fiscal sustainability in several advanced economies, this paper … estimates determinants of G7 sovereign bond spreads, using high-frequency proxies for market expectations about macroeconomic … the years preceding the financial crisis, and either an over-pricing of risk or the pricing of a re-denomination risk of …