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http://hdl.handle.net/2445/54660
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DC Field | Value | Language |
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dc.contributor.author | Gómez-Puig, Marta | - |
dc.contributor.author | Sosvilla Rivero, Simón | - |
dc.contributor.author | Ramos Herrera, María del Carmen | - |
dc.date.accessioned | 2014-05-29T12:03:26Z | - |
dc.date.available | 2014-05-29T12:03:26Z | - |
dc.date.issued | 2014 | - |
dc.identifier.issn | 1136-8365 | - |
dc.identifier.uri | http://hdl.handle.net/2445/54660 | - |
dc.description.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. | - |
dc.format.extent | 38 p. | - |
dc.format.mimetype | application/pdf | - |
dc.language.iso | eng | - |
dc.publisher | Universitat de Barcelona. Institut de Recerca en Economia Aplicada Regional i Pública | - |
dc.relation.isformatof | Reproducció del document publicat a: http://www.ub.edu/irea/working_papers/2014/201407.pdf | - |
dc.relation.ispartof | IREA – Working Papers, 2014, IR14/07 | - |
dc.relation.ispartof | UB Riskcenter Working Paper Series, 2014/04 | - |
dc.relation.ispartofseries | [WP E-RC14/04] | - |
dc.relation.ispartofseries | [WP E-IR14/07] | - |
dc.rights | cc-by-nc-nd, (c) Gómez-Puig et al., 2014 | - |
dc.rights.uri | http://creativecommons.org/licenses/by-nc-nd/3.0/ | - |
dc.source | Documents de treball (Institut de Recerca en Economia Aplicada Regional i Pública (IREA)) | - |
dc.subject.classification | Països de la Unió Europea | - |
dc.subject.classification | Bancs d'inversió | - |
dc.subject.classification | Capitalistes | - |
dc.subject.classification | Risc (Economia) | - |
dc.subject.classification | Bons | - |
dc.subject.classification | Actius financers derivats | - |
dc.subject.other | European Union countries | - |
dc.subject.other | Investment banking | - |
dc.subject.other | Capitalists | - |
dc.subject.other | Risk | - |
dc.subject.other | Bonds | - |
dc.subject.other | Derivative securities | - |
dc.title | An update on EMU sovereign yield spread drivers in times of crisis: A panel data analysis [WP] | - |
dc.type | info:eu-repo/semantics/workingPaper | - |
dc.date.updated | 2014-05-29T12:03:26Z | - |
dc.rights.accessRights | info:eu-repo/semantics/openAccess | - |
Appears in Collections: | Documents de treball (Institut de Recerca en Economia Aplicada Regional i Pública (IREA)) Documents de treball / Informes (Economia) UB RISKCENTER – Working Papers Series |
Files in This Item:
File | Description | Size | Format | |
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IR14-007_GomezPuig.pdf | 776.46 kB | Adobe PDF | View/Open |
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