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Sovereign bond spread drivers in the EU market in the aftermath of the global financial crisis

  • Iuliana Matei

    ()

    (CES - Centre d'économie de la Sorbonne - CNRS : UMR8174 - Université Paris I - Panthéon-Sorbonne)

  • Angela Cheptea

    ()

    (SMART - Structures et Marché Agricoles, Ressources et Territoires - Agrocampus Ouest - Institut national de la recherche agronomique (INRA) : UMR1302)

Dans cet article, nous étudions empiriquement les déterminants des spreads des obligations souveraines des pays de l'UE vis-à-vis de l'Allemagne entre 2003-2010. Nous abordons deux questions principales. Tout d'abord, nous examinons quelle proportion de la variation des spreads s'explique par des changements dans les fondamentaux, les risques de liquidité et de crédit. Deuxièmement, nous distinguons entre les pays membres et non-membres de l'UEM pour voir si les déterminants des spreads affectent les membres de l'UE uniformément. À cet effet, nous employons des techniques de panel dans un modèle où les spreads par rapport à l'Allemagne (exempte de risque de défaut) sont expliqués par un ensemble de variables traditionnelles et institutionnelles. Les résultats révèlent que les déficits budgétaires élevés, la dette publique ainsi que les risques politiques et dans une moindre mesure la liquidité exercent des pressions considérables sur les spreads pour de nombreux pays de l'UE.

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Paper provided by HAL in its series Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers) with number hal-00845660.

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Date of creation: 21 Dec 2012
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Handle: RePEc:hal:cesptp:hal-00845660
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