An Update on EMU Sovereign Yield Spread Drivers in Times of Crisis: A Panel Data Analysis

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...

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Detalles Bibliográficos
Autores: Gómez-Puig, Marta, Sosvilla Rivero, Simón Javier, Ramos-Herrera, María del Carmen
Tipo de recurso: artículo
Fecha de publicación:2014
País:España
Institución:Universidad Complutense de Madrid (UCM)
Repositorio:Docta Complutense
Idioma:inglés
OAI Identifier:oai:docta.ucm.es:20.500.14352/34691
Acceso en línea:https://hdl.handle.net/20.500.14352/34691
Access Level:acceso abierto
Palabra clave:C33
C52
E44
F36
G15
Sovereign bond spreads
Panel data
Eurozonea
Crisis económicas
Econometría (Economía)
Economía internacional
Economía pública
5307.06 Fluctuaciones Económicas
5302 Econometría
5310 Economía Internacional
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oai_identifier_str oai:docta.ucm.es:20.500.14352/34691
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repository_id_str
spelling An Update on EMU Sovereign Yield Spread Drivers in Times of Crisis: A Panel Data AnalysisGómez-Puig, MartaSosvilla Rivero, Simón JavierRamos-Herrera, María del CarmenC33C52E44F36G15Sovereign bond spreadsPanel dataEurozoneaCrisis económicasEconometría (Economía)Economía internacionalEconomía pública5307.06 Fluctuaciones Económicas5302 Econometría5310 Economía InternacionalWe 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.ElsevierUniversidad Complutense de Madrid20142014-01-0120142014-01-01journal articlehttp://purl.org/coar/resource_type/c_6501info:eu-repo/semantics/articleapplication/pdfhttps://hdl.handle.net/20.500.14352/34691reponame:Docta Complutenseinstname:Universidad Complutense de Madrid (UCM)Inglésengopen accesshttp://purl.org/coar/access_right/c_abf2info:eu-repo/semantics/openAccessoai:docta.ucm.es:20.500.14352/346912026-06-02T12:44:21Z
dc.title.none.fl_str_mv An Update on EMU Sovereign Yield Spread Drivers in Times of Crisis: A Panel Data Analysis
title An Update on EMU Sovereign Yield Spread Drivers in Times of Crisis: A Panel Data Analysis
spellingShingle An Update on EMU Sovereign Yield Spread Drivers in Times of Crisis: A Panel Data Analysis
Gómez-Puig, Marta
C33
C52
E44
F36
G15
Sovereign bond spreads
Panel data
Eurozonea
Crisis económicas
Econometría (Economía)
Economía internacional
Economía pública
5307.06 Fluctuaciones Económicas
5302 Econometría
5310 Economía Internacional
title_short An Update on EMU Sovereign Yield Spread Drivers in Times of Crisis: A Panel Data Analysis
title_full An Update on EMU Sovereign Yield Spread Drivers in Times of Crisis: A Panel Data Analysis
title_fullStr An Update on EMU Sovereign Yield Spread Drivers in Times of Crisis: A Panel Data Analysis
title_full_unstemmed An Update on EMU Sovereign Yield Spread Drivers in Times of Crisis: A Panel Data Analysis
title_sort An Update on EMU Sovereign Yield Spread Drivers in Times of Crisis: A Panel Data Analysis
dc.creator.none.fl_str_mv Gómez-Puig, Marta
Sosvilla Rivero, Simón Javier
Ramos-Herrera, María del Carmen
author Gómez-Puig, Marta
author_facet Gómez-Puig, Marta
Sosvilla Rivero, Simón Javier
Ramos-Herrera, María del Carmen
author_role author
author2 Sosvilla Rivero, Simón Javier
Ramos-Herrera, María del Carmen
author2_role author
author
dc.contributor.none.fl_str_mv Universidad Complutense de Madrid
dc.subject.none.fl_str_mv C33
C52
E44
F36
G15
Sovereign bond spreads
Panel data
Eurozonea
Crisis económicas
Econometría (Economía)
Economía internacional
Economía pública
5307.06 Fluctuaciones Económicas
5302 Econometría
5310 Economía Internacional
topic C33
C52
E44
F36
G15
Sovereign bond spreads
Panel data
Eurozonea
Crisis económicas
Econometría (Economía)
Economía internacional
Economía pública
5307.06 Fluctuaciones Económicas
5302 Econometría
5310 Economía Internacional
description 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.
publishDate 2014
dc.date.none.fl_str_mv 2014
2014-01-01
2014
2014-01-01
dc.type.none.fl_str_mv journal article
http://purl.org/coar/resource_type/c_6501
dc.type.openaire.fl_str_mv info:eu-repo/semantics/article
format article
dc.identifier.none.fl_str_mv https://hdl.handle.net/20.500.14352/34691
url https://hdl.handle.net/20.500.14352/34691
dc.language.none.fl_str_mv Inglés
eng
language_invalid_str_mv Inglés
language eng
dc.rights.none.fl_str_mv open access
http://purl.org/coar/access_right/c_abf2
dc.rights.openaire.fl_str_mv info:eu-repo/semantics/openAccess
rights_invalid_str_mv open access
http://purl.org/coar/access_right/c_abf2
eu_rights_str_mv openAccess
dc.format.none.fl_str_mv application/pdf
dc.publisher.none.fl_str_mv Elsevier
publisher.none.fl_str_mv Elsevier
dc.source.none.fl_str_mv reponame:Docta Complutense
instname:Universidad Complutense de Madrid (UCM)
instname_str Universidad Complutense de Madrid (UCM)
reponame_str Docta Complutense
collection Docta Complutense
repository.name.fl_str_mv
repository.mail.fl_str_mv
_version_ 1869418198234824704
score 15,301603

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