L'impact des fondamentaux macroéconomiques sur les spreads souverains de la zone euro est-il influencé par les réformes financières ?
In this paper we examine whether the weights of the forecasted macroeconomic variables in the valuation of sovereign risks has changed after the adoption of the B�le 2 new regulation framework (around the years 2005/2006 when the new rules begun to be implemented in Europe). For purpose of illustration, we examine the case of France, Germany and Greece. We estimate a time-varying probability Markov Switching model in which the break date is endogenous. Our results show differences across countries. Classification�JEL�: C51, F36, H39
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