EconStor >
ifo Institut – Leibniz-Institut für Wirtschaftsforschung an der Universität München >
CESifo Working Papers, CESifo Group Munich >

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

http://hdl.handle.net/10419/65389
  
Title:On creditor seniority and sovereign bond prices in Europe PDF Logo
Authors:Steinkamp, Sven
Westermann, Frank
Issue Date:2012
Series/Report no.:CESifo Working Paper: Monetary Policy and International Finance 3944
Abstract:The recent increase of interest rate spreads in Europe and their apparent detachment from underlying fundamental variables has generated a debate on multiple equilibria in the sovereign bond market (see De Grauwe and Ji (2012)). We critically evaluate this hypothesis, by pointing towards an alternative explanation: the increasing share of senior lenders (IMF, ECB, EFSF, etc.) in the total outstanding government debt of countries in crisis. We illustrate the close relationship between senior tranche lending - including Target2 balances - and recent developments in the sovereign bond market, both graphically and in a formal regression analysis.
Subjects:government bond spreads
Eurozone
senior tranche lending
multiple equilibria
sovereign debt crisis
Target2
JEL:F34
G12
H81
Document Type:Working Paper
Appears in Collections:CESifo Working Papers, CESifo Group Munich

Files in This Item:
File Description SizeFormat
727652133.pdf3.45 MBAdobe PDF
No. of Downloads: Counter Stats
Download bibliographical data as: BibTeX
Share on:http://hdl.handle.net/10419/65389

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