Yield spreads on EMU government bonds — How the financial crisis has helped investors to rediscover risk
AbstractThis study analyses the determinants of EMU member statesâ government bond yield spreads from January 2000 until September 2010. Using a dynamic panel regression approach, the authors show that before the outbreak of the fi nancial crisis investors generally ignored fundamental sovereign bond risk factors. However, with the beginning of the fi nancial crisis yield spreads for many member countries escalated. The results indicate not only that investors began to re-evaluate countriesâ credit risks (measured by projections of debt-to- GDP ratios), but also that risk aversion in the markets, which increased signifi cantly during the crisis, became a major determinant of sovereign bond spreads.
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Bibliographic InfoArticle provided by Springer in its journal Intereconomics.
Volume (Year): 46 (2011)
Issue (Month): 3 (June)
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Web page: http://www.springerlink.com/link.asp?id=113472
Other versions of this item:
- Klepsch, Catharina & Wollmershäuser, Timo, 2011. "Yield spreads on EMU government Bonds -how the Financial crisis has helped investors to Rediscover Risk," Munich Reprints in Economics 19465, University of Munich, Department of Economics.
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- Sinn, Hans-Werner & Wollmershäuser, Timo, 2012.
"Target loans, current account balances and capital flows: The ECB’s rescue facility,"
Munich Reprints in Economics
19556, University of Munich, Department of Economics.
- Hans-Werner Sinn & Timo Wollmershäuser, 2012. "Target loans, current account balances and capital flows: the ECB’s rescue facility," International Tax and Public Finance, Springer, vol. 19(4), pages 468-508, August.
- Hans-Werner Sinn & Timo Wollmershaeuser, 2011. "Target Loans, Current Account Balances and Capital Flows: The ECB’s Rescue Facility," NBER Working Papers 17626, National Bureau of Economic Research, Inc.
- Hans-Werner Sinn & Timo Wollmershäuser, 2011. "Target Loans, Current Account Balances and Capital Flows: The ECB’s Rescue Facility," CESifo Working Paper Series 3500, CESifo Group Munich.
- Eichler, Stefan & Maltritz, Dominik, 2013. "The term structure of sovereign default risk in EMU member countries and its determinants," Journal of Banking & Finance, Elsevier, vol. 37(6), pages 1810-1816.
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