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Zinsspreads auf europäische Staatsanleihen: Implikationen und Lehren aus der europäischen Schuldenkrise


  • Kerstin Bernoth


This study analyses the time-varying determinants of sovereign bond yield spreads between Q1/1999 and Q1/2010. Before the financial crisis, which started end of 2007, financial markets seemed to have had limited assessment of credit risks in sovereign bond markets and risk aversion did not play a significant role in explaining bond yield spreads. After the outbreak of the financial crisis, markets corrected their previously too optimistic risk sensitiveness and started to consider the fiscal position of individual countries in their interest rate setting again. It is shown that the interest rate that Greece paid on its debt was, for a long time, too low when compared to other European countries. It was at the end of 2009 that the Greek interest rate advantage vanished. Given the fact that the Stability and Growth Pact (SGP) in its current form turned out to be ineffective in the past, one can conclude that financial markets play a very important role in imposing fiscal discipline on governments. The introduction of European bonds ('e-bonds') would work against this disciplining effect. A more sustainable solution to solve the problem of high and volatile risk premia on sovereign bonds without setting the stability of the whole euro area at risk is the introduction of a rule-based European crisis mechanism, which guides the handling of sovereign defaults, and the return to a credible fiscal consolidation path of all member states. Diese Studie untersucht die zeitvariierenden Faktoren, welche die Zinsspreads auf Europäische Staatsanleihen zwischen Q1/1999 und Q1/2010 beeinflusst haben. Vor der Finanzkrise, welche Ende 2007 ihren Anfang nahm, haben Finanzmärkte Kreditrisiken nur sehr begrenzt wahrgenommen und Risikoaversion spielte keine bedeutende Rolle bei der Erklärung von Zinsspreads. Mit der Finanzkrise korrigierte sich die zuvor sehr optimistische Risikowahrnehmung und Finanzmärkte begannen wieder, die Fiskalsituation einzelner Länder in ihrer Zinssetzung zu berücksichtigen. Es zeigt sich, dass Griechenland über einen langen Zeitraum hinweg einen im europäischen Vergleich zu niedrigen Zins auf seine Staatsschuld gezahlt hat. Erst seit dem Frühjahr 2010 hat sich dieser Zinsvorteil aufgelöst. Angesichts der Tatsache,dass sich der Stabilitäts- und Wachstumspakt in seiner gegenwärtigen Fassung als wenig wirksam herausstellte, übernehmen Finanzmärkte damit eine notwendige und wichtige Funktion, um Staaten zu Fiskaldisziplin zu bewegen. Die Einführung gesamteuropäischer Anleihen ("e-Bonds") würde diesem disziplinierenden Effekt entgegenwirken. Eine langfristig nachhaltigere Lösung, um das Problem der hohen und volatilen Risikoprämien auf Staatsanleihen zu reduzieren ohne die Stabilität desgesamten Euroraum zu gefährden, stellt zum einen die Einführung eines regelgestützten Krisenmechanismus dar, welcher die Abwicklung von Staatsschuldungskrisenund auch Staatspleiten im Euroraum regelt, und zum anderen das Einschwenken aller EWU-Mitgliedsländer auf einen glaubwürdigen fiskalischen Konsolidierungskurs.

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  • Kerstin Bernoth, 2010. "Zinsspreads auf europäische Staatsanleihen: Implikationen und Lehren aus der europäischen Schuldenkrise," Vierteljahrshefte zur Wirtschaftsforschung / Quarterly Journal of Economic Research, DIW Berlin, German Institute for Economic Research, vol. 79(4), pages 103-118.
  • Handle: RePEc:diw:diwvjh:79-4-8

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    References listed on IDEAS

    1. Regling, Klaus & Deroose, Servaas & Felke, Reinhard & Kutos, Paul, 2010. "The Euro After Its First Decade: Weathering the Financial Storm and Enlarging the Euro Area," ADBI Working Papers 205, Asian Development Bank Institute.
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    More about this item


    Sovereign bond spreads; fiscal policy; euro area; financial crisis;

    JEL classification:

    • E43 - Macroeconomics and Monetary Economics - - Money and Interest Rates - - - Interest Rates: Determination, Term Structure, and Effects
    • E62 - Macroeconomics and Monetary Economics - - Macroeconomic Policy, Macroeconomic Aspects of Public Finance, and General Outlook - - - Fiscal Policy
    • G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates
    • H62 - Public Economics - - National Budget, Deficit, and Debt - - - Deficit; Surplus
    • H63 - Public Economics - - National Budget, Deficit, and Debt - - - Debt; Debt Management; Sovereign Debt


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