Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/94091
Authors: 
Bernoth, Kerstin
von Hagen, Jürgen
Schuknecht, Ludger
Year of Publication: 
2006
Series/Report no.: 
SFB/TR 15 Discussion Paper 151
Abstract: 
This paper provides a study of bond yield differentials among EU government bonds issued between 1993 and 2005 on the basis of a unique dataset of issue spreads in the US and DM (Euro) bond market. Interest differentials between bonds issued by EU countries and Germany or the USA contain risk premiums which increase with fiscal imbalances and depend negatively on the issuer's relative bond market size. The start of the European Monetary Union has shifted market attention to debt service payments as the key measure of indebtedness and eliminated liquidity premiums in the euro area.
Subjects: 
asset pricing
determination of interest rates
fiscal policy
government debt
JEL: 
G12
E43
E62
H63
Persistent Identifier of the first edition: 
Document Type: 
Working Paper

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