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Title: An update on EMU sovereign yield spreads drivers in times of crisis: A panel data analysis
Author: Gómez-Puig, Marta
Sosvilla Rivero, Simón, 1961-
Ramos Herrera, María del Carmen
Keywords: Països de la Unió Europea
Bancs d'inversió
Risc (Economia)
Actius financers derivats
European Union countries
Investment banking
Derivative securities
Issue Date: Nov-2014
Publisher: Elsevier
Abstract: respect to the German bund. Using panel data techniques, we examine the role of a wide set of potential drivers. To our knowledge, this paper presents one of the most exhaustive compilations of the variables used in the literature to study the behaviour of sovereign yield spreads and, in particular, to gauge the effect on these spreads of changes in market sentiment and risk aversion. We use a sample of both central and peripheral countries from January 1999 to December 2012 and assess whether there were significant changes after the outbreak of the euro area debt crisis. Our results suggest that the rise in sovereign risk in central countries can only be partially explained by the evolution of local macroeconomic variables in those countries. Besides, without exception, the marginal effects of sovereign spread drivers (specifically, the variables that measure global market sentiment) increased during the crisis compared to the pre-crisis period, especially in peripheral countries. Moreover, the increase in the significance of the banking level of indebtedness and foreign bank's claims in the public sector (mainly in peripheral countries) along with the crisis unfolding seems to highlight the interconnection between private and public debt and thus, between banking and sovereign crises.
Note: Versió postprint del document publicat a:
It is part of: North American Journal of Economics and Finance, 2014, vol. 30, num. November, p. 133-153
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ISSN: 1062-9408
Appears in Collections:Articles publicats en revistes (Economia)

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