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Fiscal and Financial Determinants of Eurozone Sovereign Spreads

  • Giovanni Caggiano

    ()

    (University of Padova)

  • Luciano Greco

    ()

    (University of Padova)

The relationship between fiscal and financial euro area indicators and sovereign yield spreads has changed after the start of the financial crisis. Increased financial volatility has magnified the impact of fiscal conditions as drivers of sovereign risk, has widened the set of macroeconomic determinants, and has caused substantial interactions between fiscal and financial variables.

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File URL: http://economia.unipd.it/sites/decon.unipd.it/files/20120148.pdf
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Paper provided by Dipartimento di Scienze Economiche "Marco Fanno" in its series "Marco Fanno" Working Papers with number 0148.

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Length: 10 pages
Date of creation: Jul 2012
Date of revision:
Handle: RePEc:pad:wpaper:0148
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  1. Alessandro Beber & Michael W. Brandt & Kenneth A. Kavajecz, 2006. "Flight-to-Quality or Flight-to-Liquidity? Evidence From the Euro-Area Bond Market," NBER Working Papers 12376, National Bureau of Economic Research, Inc.
  2. Bernoth, Kerstin & Erdogan, Burcu, 2010. "Sovereign bond yield spreads: a time-varying coefficient approach," Discussion Papers 289, European University Viadrina Frankfurt (Oder), Department of Business Administration and Economics.
  3. Attinasi, Maria-Grazia & Checherita-Westphal, Cristina & Nickel, Christiane, 2009. "What explains the surge in euro area sovereign spreads during the financial crisis of 2007-09?," Working Paper Series 1131, European Central Bank.
  4. Gerlach, Stefan & Schulz, Alexander & Wolff, Guntram B., 2010. "Banking and Sovereign Risk in the Euro Area," CEPR Discussion Papers 7833, C.E.P.R. Discussion Papers.
  5. Carmen M. Reinhart & Kenneth S. Rogoff, 2011. "From Financial Crash to Debt Crisis," American Economic Review, American Economic Association, vol. 101(5), pages 1676-1706, August.
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