Expectations and systemic risk in EMU government bond spreads

Canofari, Paolo and Marini, Giancarlo and Piersanti, Giovanni (2014) Expectations and systemic risk in EMU government bond spreads. [Working Paper]. LUISS Academy, Roma. p. 45. Working Paper (1/2014). ISBN 9788868560119.

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Abstract/Index

This paper explores the determinants of 10-years sovereign bond spreads over the German Bund benchmark in the Euro Zone from 2000 to 2013, relying on cross-country quarterly data panel analysis. The paper focal point is the role of contagion and euro break-up risks in widening the sovereign bond yield differentials among EU member countries. Using a novel synthetic index capable of monitoring the sustainability of currency unions, the paper finds that market expectations of a euro’s break up and contagion from Greece were fundamentals drivers of sovereign risk premia in peripheral countries.

Item Type: Report / Paper (Working Paper)
Research documents and activity classification: Working Papers > Refereed Working Papers / of international relevance
Divisions: School of European Political Economy
MIUR Scientific Area: Area 13 - Economics and Statistics > SECS-P/01 Political Economy
Deposited by: Barbara Scipioni
Date Deposited: 23 May 2014 16:12
Last Modified: 22 Apr 2015 00:15
URI: http://eprints.luiss.it/id/eprint/1311

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