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Public Statements on Sovereign Yield Spreads:The Greek Case

Author

Listed:
  • Panagiotis Petrakis

    (Faculty of Economics, University of Athens)

  • Emmanuel Papadakis

    (Faculty of Economics, University of Athens)

  • Nikoleta Daniilopoulou

    (Faculty of Economics, University of Athens)

Abstract

This paper aims to examine whether the shaping of Greece’s sovereign yield spreads in the last two years (1/2010 – 11/2011) under extreme pressure from the financial markets was affected, inter alia, by the statements of political and institutional factors related to the Greek crisis. By implementing probit methodology, we conclude that positive statements, as a whole, do not have any effect on the probability of change of the sovereign yield spread, yet the same does not apply to negative statements, which increase the probability of an upward spread movement. Having distinguished the statements per originating country/institution, we find that only Germany’s and France’s negative statements affect the probability of an increase of the sovereign spread, while France’s positive statements are, also, proven statistically and economically significant.

Suggested Citation

  • Panagiotis Petrakis & Emmanuel Papadakis & Nikoleta Daniilopoulou, 2012. "Public Statements on Sovereign Yield Spreads:The Greek Case," Cyprus Economic Policy Review, University of Cyprus, Economics Research Centre, vol. 6(2), pages 5-16, December.
    • Handle: RePEc:erc:cypepr:v:6:y:2012:i:2:p:5-16
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    References listed on IDEAS

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    Cited by:

    1. Jasper de Jong, 2018. "The effect of fiscal announcements on interest spreads: Evidence from the Netherlands," DNB Working Papers 584, Netherlands Central Bank, Research Department.

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