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EU-15 sovereign governments' cost of borrowing after seven years of Monetary Union

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Author Info
Marta Gómez-Puig (Universitat de Barcelona)
Abstract

Yield spreads over 10-year German government securities of the EU-15 countries converged dramatically in the seven years after the beginning of Monetary Integration. In this paper, we investigate the relative influence of systemic and idiosyncratic risk factors on their behaviour. Our conclusions suggest that in EMU-countries the relative importance of domestic risk factors (both credit and liquidity risk factors) is higher than that of international factors, which appear to play a secondary but significant role in non-EMU countries.

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Paper provided by Spanish Chapter of the International Economics and Finance Society in its series Working Papers with number 07-03.

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Length: 33 pages
Date of creation: Jun 2007
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Handle: RePEc:aee:wpaper:0703

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Related research
Keywords: Monetary integration sovereign securities markets systemic and idiosyncratic risk

Find related papers by JEL classification:
E44 - Macroeconomics and Monetary Economics - - Money and Interest Rates - - - Financial Markets and the Macroeconomy
F36 - International Economics - - International Finance - - - Financial Aspects of Economic Integration
G15 - Financial Economics - - General Financial Markets - - - International Financial Markets

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