Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/154214
Authors: 
Afonso, António
Arghyrou, Michael G.
Kontonikas, Alexandros
Year of Publication: 
2015
Series/Report no.: 
ECB Working Paper 1781
Abstract: 
We use a panel of euro area countries to assess the determinants of long-term sovereign bond yield spreads over the period 1999.01-2010.12. We find that, on top of the fundamentals themselves, changes in the sensitivity of bond prices to fundamentals are also necessary to explain yields over the crisis period. We also find that the menu of macro and fiscal risks priced by markets has been significantly enriched since March 2009, including international financial risk and liquidity risk. Finally, we find that sovereign credit ratings are statistically significant in explaining spreads, yet compared to macro- and fiscal fundamentals their role is limited.
Subjects: 
credit ratings
Government debt
panel analysis
sovereign yields
JEL: 
C23
E62
H50
ISBN: 
978-92-899-1594-6
Document Type: 
Working Paper

Files in This Item:
File
Size





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