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Sovereign bond spread drivers in the EU market in the aftermath of the global financial crisis

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Author Info

  • Iuliana Matei

    ()
    (CES - Centre d'économie de la Sorbonne - CNRS : UMR8174 - Université Paris I - Panthéon-Sorbonne)

  • Angela Cheptea

    ()
    (SMART - Structures et Marché Agricoles, Ressources et Territoires - Agrocampus Ouest - Institut national de la recherche agronomique (INRA) : UMR1302)

Abstract

Dans cet article, nous étudions empiriquement les déterminants des spreads des obligations souveraines des pays de l'UE vis-à-vis de l'Allemagne entre 2003-2010. Nous abordons deux questions principales. Tout d'abord, nous examinons quelle proportion de la variation des spreads s'explique par des changements dans les fondamentaux, les risques de liquidité et de crédit. Deuxièmement, nous distinguons entre les pays membres et non-membres de l'UEM pour voir si les déterminants des spreads affectent les membres de l'UE uniformément. À cet effet, nous employons des techniques de panel dans un modèle où les spreads par rapport à l'Allemagne (exempte de risque de défaut) sont expliqués par un ensemble de variables traditionnelles et institutionnelles. Les résultats révèlent que les déficits budgétaires élevés, la dette publique ainsi que les risques politiques et dans une moindre mesure la liquidité exercent des pressions considérables sur les spreads pour de nombreux pays de l'UE.

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Bibliographic Info

Paper provided by HAL in its series Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers) with number hal-00845660.

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Date of creation: 21 Dec 2012
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Handle: RePEc:hal:cesptp:hal-00845660

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Related research

Keywords: Debt; Euro zone crisis; financial contagion; panel models;

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References

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  14. Salvador Barrios & Per Iversen & Magdalena Lewandowska & Ralph Setzer, 2009. "Determinants of intra-euro area government bond spreads during the financial crisis," European Economy - Economic Papers, Directorate General Economic and Monetary Affairs (DG ECFIN), European Commission 388, Directorate General Economic and Monetary Affairs (DG ECFIN), European Commission.
  15. Barry Eichengreen & Ashoka Mody, 1998. "What Explains Changing Spreads on Emerging-Market Debt: Fundamentals or Market Sentiment?," NBER Working Papers 6408, National Bureau of Economic Research, Inc.
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Cited by:
  1. Iuliana Matei, 2013. "Government bond market linkages within EMU: evidence from a multivariate Granger causality analysis," Economics Bulletin, AccessEcon, vol. 33(3), pages 1885-1898.

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