Gómez-Puig, MartaSosvilla Rivero, Simón JavierRamos-Herrera, María del Carmen2023-06-192023-06-1920141062-940810.1016/j.najef.2014.09.003 1https://hdl.handle.net/20.500.14352/34691We 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.engjournal articlehttp://dx.doi.org/10.1016/j.najef.2014.09.003http://www.sciencedirect.com/science/article/pii/S1062940814001041open accessC33C52E44F36G15Sovereign bond spreadsPanel dataEurozoneaCrisis económicasEconometría (Economía)Economía internacionalEconomía pública5307.06 Fluctuaciones Económicas5302 Econometría5310 Economía Internacional