Determinants Of Intra Euro Area Government Bond Spreads During The Financial Crisis
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Author | : |
Publisher | : |
Total Pages | : 26 |
Release | : 2009 |
Genre | : Global Financial Crisis, 2008-2009 |
ISBN | : 9789279133633 |
Download Determinants of Intra-euro Area Government Bond Spreads During the Financial Crisis Book in PDF, Epub and Kindle
"This paper provides an empirical analysis of the determinants of government bond yield spreads in the euro area with a focus on developments during the global financial crisis that started in 2007. In line with the previous literature, we find that international factors, in particular general risk perception, play a major role in explaining governments bond yields differentials. While domestic factors such as liquidity and sovereign risk appear to be smaller but non-negligible drivers of yield spreads our results point to significant interaction of general risk aversion and macroeconomic fundamentals. Moreover, the impact of domestic factors on bond yield spreads increase significantly during the crisis, when international investors started to discriminate more between countries. In particular, the combination of high risk aversion and large current account deficits tend to magnify the incidence of deteriorated public finances on government bond yield spreads. Overall, our results suggest that an improvement in global risk perception will lead to a narrowing of intra-euro area bond yield differentials. However, the differing impact of the crisis on Member States' public finances and the expected higher risk awareness of investors after the crisis could keep government bond yield spreads at a higher level then in the pre-crisis period."--Publication information page.
Author | : Ms.Silvia Sgherri |
Publisher | : International Monetary Fund |
Total Pages | : 25 |
Release | : 2009-10-01 |
Genre | : Business & Economics |
ISBN | : 1451873697 |
Download Euro Area Sovereign Risk During the Crisis Book in PDF, Epub and Kindle
While the use of public resources is critical to cushion the impact of the financial crisis on the euro-area economy, it is key that the entailed fiscal costs not be seen by markets as undermining fiscal sustainability. From this perspective, to what extent do movements in euro area sovereign spreads reflect country-specific solvency concerns? In line with previous studies, the paper suggests that euro area sovereign risk premium differentials tend to comove over time and are mainly driven by a common time-varying factor, mimicking global risk repricing. Since October 2008, however, there is evidence that markets have become progressively more concerned about the potential fiscal implications of national financial sectors' frailty and future debt dynamics. The liquidity of sovereign bond markets still seems to play a significant (albeit fairly limited) role in explaining changes in euro area spreads.
Author | : António Afonso |
Publisher | : |
Total Pages | : 41 |
Release | : 2017 |
Genre | : |
ISBN | : |
Download Quantitative Easing and Sovereign Yield Spreads Book in PDF, Epub and Kindle
We assess the determinants of sovereign bond yield spreads in the period 1999-2016, considering non-conventional monetary policy measures in the Euro area. We use a 2-step approach: i) confirm (by means of model selection methods) and estimate (by means of panel techniques) the determinants of sovereign bond yield spreads; ii) compute bivariate time-varying coefficient (TVC) models of each determinant on government bond spreads and analyse the temporal dynamics of resulting estimates. Our results show that the baseline determinants of sovereign bond yield spreads in the Euro area are the bid-ask spread, the VIX, fiscal developments and rating developments, REER, and economic growth. In recent years, additional relevant determinants became the QE measures implemented by the ECB in the aftermath of the economic and financial crisis. From the TVC analysis, the Covered Bond Purchase Programme contributed to reduce yield spreads in all Euro area countries in the analysis, particularly in the crisis period, 2011-2013. In addition, longer-term refinancing operations contributed to reduce yield spreads in most countries.
Author | : António Afonso |
Publisher | : |
Total Pages | : |
Release | : 2012 |
Genre | : |
ISBN | : |
Download The Determinants of Sovereign Bond Yield Spreads in the EMU Book in PDF, Epub and Kindle
Author | : Christian Amann |
Publisher | : |
Total Pages | : 15 |
Release | : 2009 |
Genre | : |
ISBN | : |
Download Determinants of Government Bond Spreads in the Euro Area Book in PDF, Epub and Kindle
Author | : António Afonso |
Publisher | : |
Total Pages | : |
Release | : 2013 |
Genre | : |
ISBN | : |
Download On the Time-varying Relationship Between EMU Sovereign Spreads and Their Determinants Book in PDF, Epub and Kindle
Author | : Maria-Grazia Attinasi |
Publisher | : |
Total Pages | : |
Release | : 2009 |
Genre | : |
ISBN | : |
Download What explains the surge in euro area sovereign spreads during the financial crisis of 2007-09? Book in PDF, Epub and Kindle
Author | : |
Publisher | : |
Total Pages | : 42 |
Release | : 2015 |
Genre | : |
ISBN | : |
Download Determinants of Government Bond Yield Spreads in Eurozone During Crises Book in PDF, Epub and Kindle
Author | : Ioana Alexopoulou |
Publisher | : |
Total Pages | : |
Release | : 2009 |
Genre | : |
ISBN | : |
Download Determinants of government bond spreads in new EU countries Book in PDF, Epub and Kindle
Author | : António Afonso |
Publisher | : |
Total Pages | : |
Release | : 2015 |
Genre | : |
ISBN | : |
Download Economic Volatility and Sovereign Yields' Determinants Book in PDF, Epub and Kindle