DETERMINANTS OF GOVERNMENT BOND YIELD SPREADS IN EU COUNTRIES

• Authors: Zeman Juraj
• Languages of publication: EN

Abstracts

EN

This paper explores factors that drive government yield spreads of EU countries’ bonds issued between 2000 and 2012. Using panel regression, it identifies three factors: a country specific factor related to country’s default risk, a common factor related to general risk aversion premium, and a liquidity factor. It compares bond pricing before and after the collapse of Lehman Brothers in October 2008, bond pricing of the euro area member states with countries outside of the monetary union and in particular contrasts pricing of these two groups of countries before and after the crisis.

Keywords

EN

INTEREST RATES; FISCAL POLICY; RISK PREMIUM; CRISIS; EU; GOVERNMENT

• Publisher: Institute of Slovak and World Economics and Institute for Forecasting, Slovak Academy of Sciences
• Journal: Ekonomický časopis (Journal of Economics)
• Year: 2014
• Volume: 62
• Issue: 6
• Pages: 598 – 608

Contributors

author

Zeman Juraj

• Národná banka Slovenska, Imricha Karvaša 1, 813 25 Bratislava, Slovak Republic