Determinants of government bond spreads in the euro area: in good times as in bad
| Autor: | Christian Aßmann, Jens Boysen-Hogrefe |
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| Rok vydání: | 2011 |
| Předmět: |
default risk
Zinsstruktur Financial economics media_common.quotation_subject Geography Planning and Development liquidity risk Monetary economics Development Kreditrisiko Euro Area Risikoprämie ddc:330 Economics G12 Deutschland C32 media_common bond spreads Bond Liquidity risk Öffentliche Anleihe Interest rate Market liquidity time-varying coefficients Corporate bond Financial crisis Government bond EU-Staaten E62 E43 C23 Public finance |
| Zdroj: | Empirica. 39:341-356 |
| ISSN: | 1573-6911 0340-8744 |
| DOI: | 10.1007/s10663-011-9171-6 |
| Popis: | Government bond spreads increased rapidly during the financial turmoil in the euro area. In general, government bond spreads in the euro area are attributed to solvency and liquidity risks and determinants thereof. This paper proposes the use of latent processes to model the time variation present in the evaluation of these determinants. In contrast to approaches using global measures like the US corporate bond spreads or short-term interest rates to approximate time variation, our model is also flexible enough to deal with the unfolding of the financial crisis. The findings suggest that the expected debt-to-GDP ratio explains a major part of the differences in bond yields in the euro area between 2003 and the unfolding of the financial crises. Coefficients for many determinants increased rapidly during the financial crises. Especially market capitalization gained relative importance in winter 2008/2009. |
| Databáze: | OpenAIRE |
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