EconStor >
Verein für Socialpolitik >
Jahrestagung des Vereins für Socialpolitik 2010: Ökonomie der Familie >

Please use this identifier to cite or link to this item:

http://hdl.handle.net/10419/37217
  
Title:Determinants of government bond spreads in the Euro Area - in good times as in bad PDF Logo
Authors:Boysen-Hogrefe, Jens
Aßmann, Christian
Issue Date:2010
Series/Report no.:Beiträge zur Jahrestagung des Vereins für Socialpolitik 2010: Ökonomie der Familie - Session: Trade, Financial Markets, and the Euro E12-V2
Abstract:Despite the single currency, yields on government bonds in the Euro Area deviate substantially from German bond yields. These bond spreads are usually attributed to differing default and liquidity risks. The empirical literature documents that evaluation of these risks is subject to time variation in global factors approximated by US corporate bond spreads or short term interest rates. Within this paper time variation is modeled via latent processes instead of proxy variables. The findings suggest that default risk measured via expected debt to gross national product ratio explains a major part of the differences in band yields in the Euro area between 2003 and the unfolding of the financial crises. During the financial crises both risks gain importance in explaining bond spreads, with increased relative importance of liquidity risks compared to default risks or their market perception.
Subjects:Euro Area
bond spreads
time-varying coefficients
liquidity risk
default risk
JEL:E62
C23
G12
Document Type:Conference Paper
Appears in Collections:Jahrestagung des Vereins für Socialpolitik 2010: Ökonomie der Familie

Files in This Item:
File Description SizeFormat
VfS_2010_pid_860.pdf230.42 kBAdobe PDF
No. of Downloads: Counter Stats
Download bibliographical data as: BibTeX
Share on:http://hdl.handle.net/10419/37217

Items in EconStor are protected by copyright, with all rights reserved, unless otherwise indicated.