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http://hdl.handle.net/10419/32799
  

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dc.contributor.authorGerlach, Stefanen_US
dc.contributor.authorSchulz, Alexanderen_US
dc.contributor.authorWolff, Guntram B.en_US
dc.date.accessioned2010-06-08en_US
dc.date.accessioned2010-06-22T10:28:22Z-
dc.date.available2010-06-22T10:28:22Z-
dc.date.issued2010en_US
dc.identifier.isbn978-3-86558-619-3en_US
dc.identifier.urihttp://hdl.handle.net/10419/32799-
dc.description.abstractWe 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.isoengen_US
dc.publisherDt. Bundesbank Frankfurt, M.en_US
dc.relation.ispartofseriesDiscussion Paper Series 1: Economic Studies 2010,09en_US
dc.subject.jelE43en_US
dc.subject.jelE44en_US
dc.subject.jelG12en_US
dc.subject.ddc330en_US
dc.subject.keywordSovereign bond marketsen_US
dc.subject.keywordbankingen_US
dc.subject.keywordliquidityen_US
dc.subject.keywordEMUen_US
dc.subject.stwÖffentliche Anleiheen_US
dc.subject.stwZinsen_US
dc.subject.stwRisikoprämieen_US
dc.subject.stwLänderrisikoen_US
dc.subject.stwBankenliquiditäten_US
dc.subject.stwBankrisikoen_US
dc.subject.stwSchätzungen_US
dc.subject.stwEurozoneen_US
dc.titleBanking and sovereign risk in the euro areaen_US
dc.typeWorking Paperen_US
dc.identifier.ppn627499228en_US
dc.rightshttp://www.econstor.eu/dspace/Nutzungsbedingungen-
dc.identifier.repecRePEc:zbw:bubdp1:201009-
Appears in Collections:Discussion Paper Series 1: Economic Studies, Deutsche Bundesbank

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