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An empirical analysis on the determinants of CEE government bond spreads

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  • Ebner, André

Abstract

This paper studies the spread between 10Â year Euro denominated Central and Eastern European (CEE) government bonds and their German counterpart. With newly available time series, regressions are run for each country separately in order to deliver a first insight into the underlying determinants. While higher ECB reference rate and market volatility increase bond spreads and turn out to be the main driving factors, there is no common pattern of macroeconomic fundamentals, pointing to strong heterogeneity within the CEE region. Overall, market variables are more significant than fundamentals during 1999 to 2007.

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Bibliographic Info

Article provided by Elsevier in its journal Emerging Markets Review.

Volume (Year): 10 (2009)
Issue (Month): 2 (June)
Pages: 97-121

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Handle: RePEc:eee:ememar:v:10:y:2009:i:2:p:97-121

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Web page: http://www.elsevier.com/locate/inca/620356

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Keywords: Government bond spreads Central and Eastern Europe Fundamental data;

References

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Citations

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Cited by:
  1. Patricia Crifo & Marc-Arthur Diaye & Rim Oueghlissi, 2014. "Measuring the effect of government ESG performance on sovereign borrowing cost," CIRANO Working Papers 2014s-37, CIRANO.
  2. Comelli, Fabio, 2012. "Emerging market sovereign bond spreads: Estimation and back-testing," Emerging Markets Review, Elsevier, Elsevier, vol. 13(4), pages 598-625.
  3. Peter Claeys & Borek Vasicek, 2012. "Measuring Sovereign Bond Spillover in Europe and the Impact of Rating News," Working Papers, Czech National Bank, Research Department 2012/07, Czech National Bank, Research Department.
  4. Christiane Nickel & Philipp Rother & Jan-Christoph Ruelke, 2011. "Fiscal variables and bond spreads - evidence from Eastern European countries and Turkey," Applied Financial Economics, Taylor & Francis Journals, vol. 21(17), pages 1291-1307.
  5. Palladini, Giorgia & Portes, Richard, 2011. "Sovereign CDS and Bond Pricing Dynamics in the Euro-area," CEPR Discussion Papers 8651, C.E.P.R. Discussion Papers.
  6. Hoffmann, Andreas, 2013. "The euro as a proxy for the classical gold standard? Government debt financing and political commitment in historical perspective," Working Papers 119, University of Leipzig, Faculty of Economics and Management Science.
  7. Kamil Janacek & Zlatuse Komarkova & Michal Hlavacek & Lubos Komarek, 2012. "Impacts Of The Sovereign Default Crisis On The Czech Financial Sector," Occasional Publications - Chapters in Edited Volumes, in: CNB Financial Stability Report 2011/2012, chapter 0, pages 118-128 Czech National Bank, Research Department.
  8. Rocha, Katia & Moreira, Ajax, 2010. "The role of domestic fundamentals on the economic vulnerability of emerging markets," Emerging Markets Review, Elsevier, Elsevier, vol. 11(2), pages 173-182, June.

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