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Please use this identifier to cite or link to this item: https://hdl.handle.net/2445/54660
An update on EMU sovereign yield spread drivers in times of crisis: A panel data analysis [WP]
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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.
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GÓMEZ-PUIG, Marta, SOSVILLA RIVERO, Simón and RAMOS HERRERA, María del Carmen. An update on EMU sovereign yield spread drivers in times of crisis: A panel data analysis [WP]. IREA – Working Papers. 2014. Vol. IR14/07. ISSN 1136-8365. [consulted: 16 of June of 2026]. Available at: https://hdl.handle.net/2445/54660