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Fiscal and financial determinants of Eurozone sovereign spreads

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  • Caggiano, Giovanni
  • Greco, Luciano

Abstract

The relationship between fiscal and financial euro area indicators and sovereign yield spreads has changed after the start of the financial crisis. Increased financial volatility has magnified the impact of fiscal conditions as drivers of sovereign risk, has widened the set of macroeconomic determinants, and has caused substantial interactions between fiscal and financial variables.

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Bibliographic Info

Article provided by Elsevier in its journal Economics Letters.

Volume (Year): 117 (2012)
Issue (Month): 3 ()
Pages: 774-776

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Handle: RePEc:eee:ecolet:v:117:y:2012:i:3:p:774-776

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Web page: http://www.elsevier.com/locate/ecolet

Related research

Keywords: Fiscal policy; Financial crisis; Refinancing risk; Regime switch; Cross-country panel;

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  1. Alessandro Beber & Michael W. Brandt & Kenneth A. Kavajecz, 2009. "Flight-to-Quality or Flight-to-Liquidity? Evidence from the Euro-Area Bond Market," Review of Financial Studies, Society for Financial Studies, Society for Financial Studies, vol. 22(3), pages 925-957, March.
  2. Bernoth, Kerstin & Erdogan, Burcu, 2010. "Sovereign bond yield spreads: a time-varying coefficient approach," Discussion Papers 289, European University Viadrina Frankfurt (Oder), Department of Business Administration and Economics.
  3. Carmen M. Reinhart & Kenneth S. Rogoff, 2011. "From Financial Crash to Debt Crisis," American Economic Review, American Economic Association, American Economic Association, vol. 101(5), pages 1676-1706, August.
  4. Gerlach, Stefan & Schulz, Alexander & Wolff, Guntram B., 2010. "Banking and sovereign risk in the euro area," Discussion Paper Series 1: Economic Studies 2010,09, Deutsche Bundesbank, Research Centre.
  5. Attinasi, Maria-Grazia & Checherita-Westphal, Cristina & Nickel, Christiane, 2009. "What explains the surge in euro area sovereign spreads during the financial crisis of 2007-09?," Working Paper Series, European Central Bank 1131, European Central Bank.
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Cited by:
  1. Simone BERTOLI & Herbert BRÜCKER & Jesús FERNÁNDEZ-HUERTAS MORAGA, 2013. "The European Crisis and Migration to Germany: Expectations and the Diversion of Migration Flows," Working Papers 201321, CERDI.
  2. Florence Bouvet & Ryan Brady & Sharmila King, 2013. "Debt Contagion in Europe: A Panel-Vector Autoregressive (VAR) Analysis," Social Sciences, MDPI, Open Access Journal, vol. 2(4), pages 318-340, December.
  3. António Afonso & Michael G. Arghyrou & George Bagdatoglou & Alexandros Kontonikas, 2013. "On the time-varying relationship between EMU sovereign spreads and their determinants," Working Papers, Business School - Economics, University of Glasgow 2013_05, Business School - Economics, University of Glasgow.
  4. Florence Bouvet & Ryan Brady & Sharmila King, 2013. "Debt Contagion in Europe: A Panel-VAR Analysis," Departmental Working Papers, United States Naval Academy Department of Economics 44, United States Naval Academy Department of Economics.

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