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Expectations and systemic risk in EMU government bond spreads

Listed author(s):
  • Canofari Paolo
  • Marini Giancarlo
  • Piersanti Giovanni

This paper explores the determinants of 10-years sovereign bond spreads over the German Bund benchmark in the Euro Zone from 2000 to 2013, relying on cross-country quarterly data panel analysis. The paper focal point is the role of contagion and euro break-up risks in widening the sovereign bond yield differentials among EU member countries. Using a novel synthetic index capable of monitoring the sustainability of currency unions, the paper finds that market expectations of a euro’s break up and contagion from Greece were fundamentals drivers of sovereign risk premia in peripheral countries.

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File URL: http://wp.comunite.it/data/wp_no_113_2014.pdf
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Paper provided by Department of Communication, University of Teramo in its series wp.comunite with number 0113.

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Date of creation: Sep 2014
Handle: RePEc:ter:wpaper:0113
Contact details of provider: Web page: http://wp.comunite.it/

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