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Discrimination par le marché entre les dettes des États membres de l'UEM

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  • Frédéric Zumer
  • Anne Frémont
  • Jacques Mélitz

Abstract

[eng] What will become of the interest spreads on the debts of different sovereign borrowers under EMU ? Will these always be small and merely reflect differences in liquidity, as they do today, or will they progressively widen and also reflect default risk? Such are the questions posed in this study. We offer a variety of reasons for doubting that the current convergence of interest rates in the euro zone constitutes a permanent situation. Prominent among these is a large set of new data of our own construction concerning the spreads on the debts of lower-level governments, or governments without money-issuing power, for a dozen countries. Those spreads clearly give rise to the suspicion that default-risk premia may reappear in the yields on the debts of different sovereigns in EMU. JEL Codes : E43, E60, F36 [fre] Que deviendront les « spreads1 » de taux d'intérêt qui prévalaient encore récemment entre les dettes des différents États souverains de l'Union économique et monétaire? Ces spreads, bien sur, ne résulteront plus des primes de taux de change. Néanmoins, ils pourraient clairement persister. Ils proviendraient alors pour une part des différences de liquidité relativement aux émissions d'un emprunteur de référence, sûrement le « Bund » allemand ou le Trésor public français, ou une combinaison des deux (peut-être aussi avec le gouvernement néerlandais). Mais, de toute évidence, les spreads pourraient également persister en raison du risque de défaut. Dès lors, quelle sera l'ampleur de ces différentiels et jusqu'où pourraient-ils augmenter en fonction du risque ? Telle est l'une des questions importantes que se posent actuellement les économistes qui étudient l'UEM, en raison notamment de son lien étroit avec les préoccupations sous-jacentes au traité de Maastricht : dérapage possible des dettes publiques, risques de monétisation, refus proclamé du « bail-out » (renflouement).

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Bibliographic Info

Article provided by Programme National Persée in its journal Revue de l'OFCE.

Volume (Year): 72 (2000)
Issue (Month): 1 ()
Pages: 39-69

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Handle: RePEc:prs:rvofce:ofce_0751-6614_2000_num_72_1_1569

Note: DOI:10.3406/ofce.2000.1569
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Web page: http://www.persee.fr/web/revues/home/prescript/revue/ofce

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Cited by:
  1. Frédéric Zumer & Jacques Mélitz*, 2002. "Partage du risque dans l'Union européenne. Expériences interrégionales et internationales," Revue de l'OFCE, Presses de Sciences-Po, vol. 0(5), pages 299-323.
  2. repec:spo:wpecon:info:hdl:2441/762 is not listed on IDEAS

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