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L'impact des fondamentaux macroéconomiques sur les spreads souverains de la zone euro est-il influencé par les réformes financières ?

Author

Listed:
  • Olivier Damette
  • Gilles Dufrénot
  • Philippe Frouté

Abstract

In this paper we examine whether the weights of the forecasted macroeconomic variables in the valuation of sovereign risks has changed after the adoption of the Bâle 2 new regulation framework (around the years 2005/2006 when the new rules begun to be implemented in Europe). For purpose of illustration, we examine the case of France, Germany and Greece. We estimate a time-varying probability Markov Switching model in which the break date is endogenous. Our results show differences across countries. Classification JEL : C51, F36, H39

Suggested Citation

  • Olivier Damette & Gilles Dufrénot & Philippe Frouté, 2011. "L'impact des fondamentaux macroéconomiques sur les spreads souverains de la zone euro est-il influencé par les réformes financières ?," Revue économique, Presses de Sciences-Po, vol. 62(6), pages 1135-1145.
    • Handle: RePEc:cai:recosp:reco_626_1135
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    JEL classification:

    • C51 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Model Construction and Estimation
    • F36 - International Economics - - International Finance - - - Financial Aspects of Economic Integration
    • H39 - Public Economics - - Fiscal Policies and Behavior of Economic Agents - - - Other

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