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The Impact Of Monetary Union On Eu-15 Sovereign Debt Yield Spreads

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  • Marta Gómez-Puig

    (Universitat de Barcelona)

Abstract

With European Monetary Union (EMU), there was an increase in the adjusted spreads (corrected from the foreign exchange risk) of euro participating countries’ sovereign securities over Germany and a decrease in those of non-euro countries. The objective of this paper is to study the reasons for this result, and in particular, whether the change in the price assigned by markets was due to domestic factors such as credit risk and/or market liquidity, or to international risk factors. The empirical evidence suggests that market size scale economies have increased since EMU for all European markets, so the effect of the various risk factors, even though it differs between euro and non-euro countries, is always dependent on the size of the market.

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Bibliographic Info

Paper provided by Asociación Española de Economía y Finanzas Internacionales in its series Working Papers with number 05-11.

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Length: 34 pages
Date of creation: Dec 2005
Date of revision:
Handle: RePEc:aee:wpaper:0511

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Related research

Keywords: Monetary integration; sovereign securities markets; international and domestic credit risk; and market liquidity;

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References

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Citations

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Cited by:
  1. Sergio Mayordomo & Juan Ignacio Peña & Eduardo S. Schwartz, 2009. "Towards a Common European Monetary Union Risk Free Rate," NBER Working Papers 15353, National Bureau of Economic Research, Inc.
  2. Marta Gomez-Puig, 2007. "Eu-15 Sovereign Governments Cost Of Borrowing After Seven Years Of Monetary Union," IREA Working Papers 200711, University of Barcelona, Research Institute of Applied Economics, revised May 2007.
  3. 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 1131, European Central Bank.

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