Eu-15 Sovereign Governments Cost Of Borrowing After Seven Years Of Monetary Union
AbstractYield 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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Bibliographic InfoPaper provided by University of Barcelona, Research Institute of Applied Economics in its series IREA Working Papers with number 200711.
Length: 32 pages
Date of creation: May 2007
Date of revision: May 2007
Monetary integration; sovereign securities markets; systemic; idiosyncratic risk.;
Other versions of this item:
- Marta Gómez-Puig, 2007. "EU-15 sovereign governments' cost of borrowing after seven years of Monetary Union," Working Papers 07-03, Asociación Española de Economía y Finanzas Internacionales.
- 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
This paper has been announced in the following NEP Reports:
- NEP-ALL-2007-05-26 (All new papers)
- NEP-EEC-2007-05-26 (European Economics)
- NEP-MAC-2007-05-26 (Macroeconomics)
- NEP-MON-2007-05-26 (Monetary Economics)
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