Please use this identifier to cite or link to this item: https://hdl.handle.net/10419/32799 
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dc.contributor.authorGerlach, Stefanen
dc.contributor.authorSchulz, Alexanderen
dc.contributor.authorWolff, Guntram B.en
dc.date.accessioned2010-06-08-
dc.date.accessioned2010-06-22T10:28:22Z-
dc.date.available2010-06-22T10:28:22Z-
dc.date.issued2010-
dc.identifier.isbn978-3-86558-619-3en
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
dc.language.isoengen
dc.publisher|aDeutsche Bundesbank |cFrankfurt a. M.en
dc.relation.ispartofseries|aDiscussion Paper Series 1 |x2010,09en
dc.subject.jelE43en
dc.subject.jelE44en
dc.subject.jelG12en
dc.subject.ddc330en
dc.subject.keywordSovereign bond marketsen
dc.subject.keywordbankingen
dc.subject.keywordliquidityen
dc.subject.keywordEMUen
dc.subject.stwÖffentliche Anleiheen
dc.subject.stwZinsen
dc.subject.stwRisikoprämieen
dc.subject.stwLänderrisikoen
dc.subject.stwBankenliquiditäten
dc.subject.stwBankrisikoen
dc.subject.stwSchätzungen
dc.subject.stwEurozoneen
dc.titleBanking and sovereign risk in the euro area-
dc.typeWorking Paperen
dc.identifier.ppn627499228en
dc.rightshttp://www.econstor.eu/dspace/Nutzungsbedingungenen
dc.identifier.repecRePEc:zbw:bubdp1:201009en

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