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Erscheinungsjahr: 
2012
Schriftenreihe/Nr.: 
University of Tübingen Working Papers in Economics and Finance No. 48
Verlag: 
University of Tübingen, Faculty of Economics and Social Sciences, Tübingen
Zusammenfassung: 
Using annual data for 21 OECD countries we provide evidence of remarkable mispricing of sovereign bonds for the so-called GIIPS countries before the start of the financial crisis. Our results also qualify the view of pronounced overpricing in the crisis. In detail, we find: (i) Since the 1980s the role of public debt for the pricing of government bonds has changed twice: First-time in the aftermath of the signing of the Maastricht treaty, and again with the wake-up call due to the onset of the financial crisis. (ii) Before the financial crisis EMU member countries had de facto been perceived as a homogenous group with regard to the role of public debt for sovereign risk pricing. (iii) With the reconsideration of country-specific fundamentals the role of public debt has not only been revived but its impact upon bond yield spreads has become comparable to the time before the Maastricht treaty.
Schlagwörter: 
EMU
GIIPS
public debt
risk perception
sovereign bond yields
JEL: 
E43
E44
E62
Persistent Identifier der Erstveröffentlichung: 
Dokumentart: 
Working Paper

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