|
EconStor >
Deutsche Bundesbank, Forschungszentrum, Frankfurt am Main >
Discussion Paper Series 1: Economic Studies, Deutsche Bundesbank >
Please use this identifier to cite or link to this item:
http://hdl.handle.net/10419/32799
|
| | |
Full metadata record
| DC Field | | Value | | Language |
| dc.contributor.author | | Gerlach, Stefan | | en_US |
| dc.contributor.author | | Schulz, Alexander | | en_US |
| dc.contributor.author | | Wolff, Guntram B. | | en_US |
| dc.date.accessioned | | 2010-06-08 | | en_US |
| dc.date.accessioned | | 2010-06-22T10:28:22Z | | - |
| dc.date.available | | 2010-06-22T10:28:22Z | | - |
| dc.date.issued | | 2010 | | en_US |
| dc.identifier.isbn | | 978-3-86558-619-3 | | en_US |
| dc.identifier.uri | | http://hdl.handle.net/10419/32799 | | - |
| dc.description.abstract | | We study the determinants of sovereign bond spreads in the euro area since the introduction of the euro. We show that an aggregate risk factor is a main driver of spreads. This factor also plays an important indirect role for risk spreads through its interaction with the size and structure of national banking sectors. When aggregate risk increases, countries with large banking sectors and low equity ratios in the banking sector experience greater widening in yield spreads, suggesting that financial markets perceive a larger risk that governments will have to rescue banks, increasing public debt and therefore sovereign risk. Moreover, government debt levels and forecasts of future fiscal deficits are also significant determinants of sovereign spreads. | | en_US |
| dc.language.iso | | eng | | en_US |
| dc.publisher | | Dt. Bundesbank Frankfurt, M. | | en_US |
| dc.relation.ispartofseries | | Discussion Paper Series 1: Economic Studies 2010,09 | | en_US |
| dc.subject.jel | | E43 | | en_US |
| dc.subject.jel | | E44 | | en_US |
| dc.subject.jel | | G12 | | en_US |
| dc.subject.ddc | | 330 | | en_US |
| dc.subject.keyword | | Sovereign bond markets | | en_US |
| dc.subject.keyword | | banking | | en_US |
| dc.subject.keyword | | liquidity | | en_US |
| dc.subject.keyword | | EMU | | en_US |
| dc.subject.stw | | Öffentliche Anleihe | | en_US |
| dc.subject.stw | | Zins | | en_US |
| dc.subject.stw | | Risikoprämie | | en_US |
| dc.subject.stw | | Länderrisiko | | en_US |
| dc.subject.stw | | Bankenliquidität | | en_US |
| dc.subject.stw | | Bankrisiko | | en_US |
| dc.subject.stw | | Schätzung | | en_US |
| dc.subject.stw | | Eurozone | | en_US |
| dc.title | | Banking and sovereign risk in the euro area | | en_US |
| dc.type | | Working Paper | | en_US |
| dc.identifier.ppn | | 627499228 | | en_US |
| dc.rights | | http://www.econstor.eu/dspace/Nutzungsbedingungen | | - |
| Appears in Collections: | | Discussion Paper Series 1: Economic Studies, Deutsche Bundesbank
|
| Files in This Item:
| |
|
| No. of Downloads:
| |
| last Month |
last 3 Month |
total |
|
|
|
|
|
Items in EconStor are protected by copyright, with all rights reserved, unless otherwise indicated.
|