2026-06-28T10:08:19Zhttps://docta.ucm.es/rest/oai/requestoai:docta.ucm.es:20.500.14352/346912025-02-13T18:29:26Zcom_20.500.14352_14col_20.500.14352_15
Docta Complutense
author
Gómez-Puig, Marta
author
Sosvilla Rivero, Simón Javier
author
Ramos-Herrera, María del Carmen
2023-06-19T14:54:20Z
2023-06-19T14:54:20Z
2014
1062-9408
10.1016/j.najef.2014.09.003 1
https://hdl.handle.net/20.500.14352/34691
http://dx.doi.org/10.1016/j.najef.2014.09.003
http://www.sciencedirect.com/science/article/pii/S1062940814001041
We empirically investigate the determinants of EMU sovereign bond yield spreads with respect to the German bund. Using panel data techniques, we examine the role of a wide set of potential drivers. To our knowledge, this paper presents one of the most exhaustive compilations of the variables used in the literature to study the behaviour of sovereign yield spreads and, in particular, to gauge the effect on these spreads of changes in market sentiment and risk aversion. We use a sample of both central and peripheral countries from January 1999 to December 2012 and assess whether there were significant changes after the outbreak of the euro area debt crisis. Our results suggest that the rise in sovereign risk in central countries can only be partially explained by the evolution of local macroeconomic variables in those countries. Besides, without exception, the marginal effects of sovereign spread drivers (specifically, the variables that measure global market sentiment) increased during the crisis compared to the pre-crisis period, especially in peripheral countries.
eng
An Update on EMU Sovereign Yield Spread Drivers in Times of Crisis: A Panel Data Analysis
journal article
URL
https://docta.ucm.es/bitstreams/e156be1e-d5bd-4e46-8550-4695df75db00/download
File
MD5
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application/pdf
NAJEF-D-14-00041R2.pdf
URL
https://docta.ucm.es/bitstreams/52687968-a078-4dee-9248-bc04c1871c9a/download
File
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6493754f1b5714a1b9fd1a18b6615551
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text/plain
NAJEF-D-14-00041R2.pdf.txt