Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/39576
Authors: 
Bernoth, Kerstin
von Hagen, Jürgen
Schuknecht, Ludger
Year of Publication: 
2004
Series/Report no.: 
ZEI working paper B 26-2003
Abstract: 
This paper provides a study of bond yield differentials among EU eurobonds issued between 1991 and 2002. Interest differentials between bonds issued by EU countries and Germany or the USA contain risk premia which increase with the debt, deficit and debt-service ratio and depend positively on the issuer’s relative bond market size. Global investors’ attitude towards credit risk, measured as the yield spread between low grade US corporate bonds and government bonds, also affects bond yield spreads between EU countries and Germany/USA. The start of the European Monetary Union had significant effects on the bond pricing of the member states.
Subjects: 
asset pricing
determination of interest rates
fiscal policy
government debt
JEL: 
G12
E43
E62
H63
Document Type: 
Working Paper

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