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The determinants of sovereign bond yield spreads (2012)
| Venue: | in the EMU”. University of Glasgow, Adam Smith Business School, Discussion Paper |
| Citations: | 6 - 4 self |
BibTeX
@INPROCEEDINGS{Afonso12thedeterminants,
author = {António Afonso and Michael G Arghyrou and Alexandros Kontonikas},
title = {The determinants of sovereign bond yield spreads},
booktitle = {in the EMU”. University of Glasgow, Adam Smith Business School, Discussion Paper},
year = {2012}
}
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Abstract
Abstract We use a panel of euro area countries to assess the determinants of long-term sovereign bond yield spreads over the period 1999.01-2010.12. We find that the European sovereign debt crisis is more strongly linked to developments in macro and fiscal fundamentals rather than to downgrades in sovereign ratings. We also find that after early 2010 the risk of periphery countries relative to the core ones increased rapidly causing contagion effects; expected debt ratios start being positively reflected in spreads since August 2007; and the response of spreads to debt becomes much more pronounced after March 2009. JEL: C23, E62, H50.
