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Determinants of sub-sovereign bond yield spreads: the role of fiscal fundamentals and federal bailout expectations

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  • Beck, Roland
  • Ferrucci, Gianluigi
  • Hantzsche, Arno
  • Rau-Goehring, Matthias

Abstract

This paper investigates to what extent yield spreads on bonds issued by sub-sovereign entities within federations are driven by bailout expectations and investors JEL Classification: E62, G12, H7

Suggested Citation

  • Beck, Roland & Ferrucci, Gianluigi & Hantzsche, Arno & Rau-Goehring, Matthias, 2016. "Determinants of sub-sovereign bond yield spreads: the role of fiscal fundamentals and federal bailout expectations," Working Paper Series 1987, European Central Bank.
  • Handle: RePEc:ecb:ecbwps:20161987
    Note: 597822
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    Cited by:

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    2. Santiago José Pérez-Balsalobre & Carlos Llano-Verduras, 2021. "Modelling sovereign debt ratings for sub-national governments: the case of Spain before and after the crisis," Empirica, Springer;Austrian Institute for Economic Research;Austrian Economic Association, vol. 48(2), pages 373-395, May.
    3. Walker, Thomas & Zhang, Xueying & Zhang, Aoran & Wang, Yulin, 2021. "Fact or fiction: Implicit government guarantees in China’s corporate bond market," Journal of International Money and Finance, Elsevier, vol. 116(C).
    4. András Bethlendi & Csaba Lentner, 2018. "Subnational Fiscal Consolidation: The Hungarian Path from Crisis to Fiscal Sustainability in Light of International Experiences," Sustainability, MDPI, Open Access Journal, vol. 10(9), pages 1-16, August.
    5. van Riet, Ad, 2017. "Addressing the safety trilemma: a safe sovereign asset for the eurozone," ESRB Working Paper Series 35, European Systemic Risk Board.
    6. Diego Martínez-López, 2021. "Subnational borrowing and bailouts: when the federal government looks at the votes (diferently) and its borrowing matters," Working Papers. Collection A: Public economics, governance and decentralization 2101, Universidade de Vigo, GEN - Governance and Economics research Network.

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    More about this item

    Keywords

    fiscal federalism; government debt; sovereign bond spreads; sub-national governments;
    All these keywords.

    JEL classification:

    • 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
    • H7 - Public Economics - - State and Local Government; Intergovernmental Relations

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