Yield spreads on EMU government Bonds -how the Financial crisis has helped investors to Rediscover Risk
This study analyses the determinants of EMU member states’ government bond yield spreads from January 2000 until September 2010. Using a dynamic panel regression approach, the authors show that before the outbreak of the fi nancial crisis investors generally ignored fundamental sovereign bond risk factors. However, with the beginning of the fi nancial crisis yield spreads for many member countries escalated. The results indicate not only that investors began to re-evaluate countries’ credit risks (measured by projections of debt-to- GDP ratios), but also that risk aversion in the markets, which increased signifi cantly during the crisis, became a major determinant of sovereign bond spreads.
To our knowledge, this item is not available for
download. To find whether it is available, there are three
1. Check below under "Related research" whether another version of this item is available online.
2. Check on the provider's web page whether it is in fact available.
3. Perform a search for a similarly titled item that would be available.
|Date of creation:||2011|
|Publication status:||Published in Intereconomics 3 46(2011): pp. 169-176|
|Contact details of provider:|| Postal: Ludwigstr. 28, 80539 Munich, Germany|
Web page: http://www.vwl.uni-muenchen.de
More information through EDIRC
When requesting a correction, please mention this item's handle: RePEc:lmu:muenar:19465. See general information about how to correct material in RePEc.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Tamilla Benkelberg)
If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.
If references are entirely missing, you can add them using this form.
If the full references list an item that is present in RePEc, but the system did not link to it, you can help with this form.
If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your profile, as there may be some citations waiting for confirmation.
Please note that corrections may take a couple of weeks to filter through the various RePEc services.