Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/193516
Authors: 
Delatte, Anne-Laure
Fouquau, Julien
Portes, Richard
Year of Publication: 
2016
Series/Report no.: 
ESRB Working Paper Series 9
Abstract: 
Previous work has documented a greater sensitivity of long-term government bond yields to fundamentals in Euro area stress countries during the euro crisis, but we know little about the driver(s) of regime-switches. Our estimates based on a panel smooth threshold regression model quantify and explain them: 1) investors have penalized a deterioration of fundamentals more strongly from 2010 to 2012; 2) a key indicator of regime switch is the premium of the financial credit default swap index: the higher the bank credit risk, the higher the extra premium on fundamentals; 3) after ECB President Draghi's speech in July 2012, it took one year to restore the non-crisis regime and suppress the extra premium.
Subjects: 
European sovereign crisis
Panel Smooth Threshold Regression Models
CDS indices
JEL: 
E44
F34
G12
H63
C23
Persistent Identifier of the first edition: 
ISBN: 
978-92-95081-36-9
Document Type: 
Working Paper
Social Media Mentions:

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