Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/153953
Authors: 
D'Agostino, Antonello
Ehrmann, Michael
Year of Publication: 
2013
Series/Report no.: 
ECB Working Paper 1520
Abstract: 
Against the background of the current debate about fiscal sustainability in several advanced economies, this paper estimates determinants of G7 sovereign bond spreads, using high‐frequency proxies for market expectations about macroeconomic fundamentals and allowing for time‐varying parameters. The paper finds substantial asymmetry in the importance of country fundamentals and considerable time variations in the pricing of risks. There has been a reduced pricing of several risk factors in the years preceding the financial crisis, and either an overpricing of risk or the pricing of a re‐denomination risk of euro area bonds during the European sovereign debt crisis.
Subjects: 
Fiscal Policy
Sovereign Spreads
time‐varying coefficients
JEL: 
E43
E44
F34
G15
Document Type: 
Working Paper

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