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Title: An update on EMU sovereign yield spread drivers in times of crisis: A panel data analysis [WP]
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: 2014
Publisher: Universitat de Barcelona. Institut de Recerca en Economia Aplicada Regional i Pública
Series/Report no: [WP E-RC14/04]
[WP E-IR14/07]
Abstract: We empirically investigate the determinants of EMU sovereign bond yield spreads with 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.
Note: Reproducció del document publicat a:
It is part of: IREA – Working Papers, 2014, IR14/07
UB Riskcenter Working Paper Series, 2014/04
ISSN: 1136-8365
Appears in Collections:Documents de treball / Informes (Economia)
UB RISKCENTER – Working Papers Series
Documents de treball (Institut de Recerca en Economia Aplicada Regional i Pública (IREA))

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