PRICING SOVEREIGN BOND RISK IN THE EUROPEAN MONETARY UNION AREA: AN EMPIRICAL INVESTIGATION
ABSTRACT We use a panel of 10 euro area countries to assess the determinants of long‐term sovereign bond yield spreads over the period 1999.01–2010.11. We find that government bond yield spreads are well explained by fiscal fundamentals over the crisis period. We also find that the menu of risk fact...
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| Veröffentlicht in: | International journal of finance and economics 2014-01, Vol.19 (1), p.49-56 |
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| container_title | International journal of finance and economics |
| container_volume | 19 |
| creator | Afonso, António Arghyrou, Michael G. Kontonikas, Alexandros |
| description | ABSTRACT
We use a panel of 10 euro area countries to assess the determinants of long‐term sovereign bond yield spreads over the period 1999.01–2010.11. We find that government bond yield spreads are well explained by fiscal fundamentals over the crisis period. We also find that the menu of risk factors priced by markets has been significantly enriched since March 2009, including international risk, liquidity risk and the risk of the crisis' transmission among European Monetary Union member states. Finally, we find that transmission risk has increased considerably since spring 2009 because of rapidly increasing risk of investing in periphery bonds relative to core ones. Copyright © 2013 John Wiley & Sons, Ltd. |
| doi_str_mv | 10.1002/ijfe.1484 |
| format | Article |
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We use a panel of 10 euro area countries to assess the determinants of long‐term sovereign bond yield spreads over the period 1999.01–2010.11. We find that government bond yield spreads are well explained by fiscal fundamentals over the crisis period. We also find that the menu of risk factors priced by markets has been significantly enriched since March 2009, including international risk, liquidity risk and the risk of the crisis' transmission among European Monetary Union member states. Finally, we find that transmission risk has increased considerably since spring 2009 because of rapidly increasing risk of investing in periphery bonds relative to core ones. Copyright © 2013 John Wiley & Sons, Ltd.</description><identifier>ISSN: 1076-9307</identifier><identifier>EISSN: 1099-1158</identifier><identifier>DOI: 10.1002/ijfe.1484</identifier><language>eng</language><publisher>Chichester: Blackwell Publishing Ltd</publisher><subject>European Monetary Union ; Government bonds ; government debt ; International finance ; Manycountries ; panel analysis ; Risk assessment ; Risk factors ; Sovereign yields ; Spread ; Studies</subject><ispartof>International journal of finance and economics, 2014-01, Vol.19 (1), p.49-56</ispartof><rights>Copyright © 2013 John Wiley & Sons, Ltd.</rights><rights>Copyright Wiley Periodicals Inc. Jan 2014</rights><lds50>peer_reviewed</lds50><oa>free_for_read</oa><woscitedreferencessubscribed>false</woscitedreferencessubscribed><citedby>FETCH-LOGICAL-c4034-724fd6c61c631d352254b5955dcda52fd76b9d859468fdff0ba9412ed3a3a48e3</citedby><cites>FETCH-LOGICAL-c4034-724fd6c61c631d352254b5955dcda52fd76b9d859468fdff0ba9412ed3a3a48e3</cites></display><links><openurl>$$Topenurl_article</openurl><openurlfulltext>$$Topenurlfull_article</openurlfulltext><thumbnail>$$Tsyndetics_thumb_exl</thumbnail><linktopdf>$$Uhttps://onlinelibrary.wiley.com/doi/pdf/10.1002%2Fijfe.1484$$EPDF$$P50$$Gwiley$$H</linktopdf><linktohtml>$$Uhttps://onlinelibrary.wiley.com/doi/full/10.1002%2Fijfe.1484$$EHTML$$P50$$Gwiley$$H</linktohtml><link.rule.ids>314,776,780,1411,27901,27902,45550,45551</link.rule.ids></links><search><creatorcontrib>Afonso, António</creatorcontrib><creatorcontrib>Arghyrou, Michael G.</creatorcontrib><creatorcontrib>Kontonikas, Alexandros</creatorcontrib><title>PRICING SOVEREIGN BOND RISK IN THE EUROPEAN MONETARY UNION AREA: AN EMPIRICAL INVESTIGATION</title><title>International journal of finance and economics</title><addtitle>Int. J. Fin. Econ</addtitle><description>ABSTRACT
We use a panel of 10 euro area countries to assess the determinants of long‐term sovereign bond yield spreads over the period 1999.01–2010.11. We find that government bond yield spreads are well explained by fiscal fundamentals over the crisis period. We also find that the menu of risk factors priced by markets has been significantly enriched since March 2009, including international risk, liquidity risk and the risk of the crisis' transmission among European Monetary Union member states. Finally, we find that transmission risk has increased considerably since spring 2009 because of rapidly increasing risk of investing in periphery bonds relative to core ones. Copyright © 2013 John Wiley & Sons, Ltd.</description><subject>European Monetary Union</subject><subject>Government bonds</subject><subject>government debt</subject><subject>International finance</subject><subject>Manycountries</subject><subject>panel analysis</subject><subject>Risk assessment</subject><subject>Risk factors</subject><subject>Sovereign yields</subject><subject>Spread</subject><subject>Studies</subject><issn>1076-9307</issn><issn>1099-1158</issn><fulltext>true</fulltext><rsrctype>article</rsrctype><creationdate>2014</creationdate><recordtype>article</recordtype><recordid>eNp1kM1OwkAURhujiYgufINJXLkozHR-2rqrOJRRnDalYMTFpHQ6CYiCLUR5e9uUuHN1b27O-W7yWdY1gj0EodNfrkzRQ8QjJ1YHQd-3EaLeabO7zPYxdM-ti6paQQgZdWHHeosTMRAyBJNoxhMuQgnuI_kAEjF5AkKCdMQBnyZRzAMJniPJ0yB5BVMpIgmChAd3oL7z51jUMcG4NmZ8koowSGvg0joz2boqro6za02HPB2M7HEUNrSdE4iJ7TrEaJYzlDOMNKaOQ8mC-pTqXGfUMdplC1971CfMM9oYuMh8gpxC4wxnxCtw17ppc7fl5mtfVDu12uzLz_qlQhQSxyUM0Zq6bam83FRVWRi1LZcfWXlQCKqmO9V0p5ruarbfst_LdXH4H1TicciPht0ay2pX_PwZWfmumItdql5kqKQzjwfefKxS_Av9jHcs</recordid><startdate>201401</startdate><enddate>201401</enddate><creator>Afonso, António</creator><creator>Arghyrou, Michael G.</creator><creator>Kontonikas, Alexandros</creator><general>Blackwell Publishing Ltd</general><general>Wiley Periodicals Inc</general><scope>BSCLL</scope><scope>AAYXX</scope><scope>CITATION</scope></search><sort><creationdate>201401</creationdate><title>PRICING SOVEREIGN BOND RISK IN THE EUROPEAN MONETARY UNION AREA: AN EMPIRICAL INVESTIGATION</title><author>Afonso, António ; Arghyrou, Michael G. ; Kontonikas, Alexandros</author></sort><facets><frbrtype>5</frbrtype><frbrgroupid>cdi_FETCH-LOGICAL-c4034-724fd6c61c631d352254b5955dcda52fd76b9d859468fdff0ba9412ed3a3a48e3</frbrgroupid><rsrctype>articles</rsrctype><prefilter>articles</prefilter><language>eng</language><creationdate>2014</creationdate><topic>European Monetary Union</topic><topic>Government bonds</topic><topic>government debt</topic><topic>International finance</topic><topic>Manycountries</topic><topic>panel analysis</topic><topic>Risk assessment</topic><topic>Risk factors</topic><topic>Sovereign yields</topic><topic>Spread</topic><topic>Studies</topic><toplevel>peer_reviewed</toplevel><toplevel>online_resources</toplevel><creatorcontrib>Afonso, António</creatorcontrib><creatorcontrib>Arghyrou, Michael G.</creatorcontrib><creatorcontrib>Kontonikas, Alexandros</creatorcontrib><collection>Istex</collection><collection>CrossRef</collection><jtitle>International journal of finance and economics</jtitle></facets><delivery><delcategory>Remote Search Resource</delcategory><fulltext>fulltext</fulltext></delivery><addata><au>Afonso, António</au><au>Arghyrou, Michael G.</au><au>Kontonikas, Alexandros</au><format>journal</format><genre>article</genre><ristype>JOUR</ristype><atitle>PRICING SOVEREIGN BOND RISK IN THE EUROPEAN MONETARY UNION AREA: AN EMPIRICAL INVESTIGATION</atitle><jtitle>International journal of finance and economics</jtitle><addtitle>Int. J. Fin. Econ</addtitle><date>2014-01</date><risdate>2014</risdate><volume>19</volume><issue>1</issue><spage>49</spage><epage>56</epage><pages>49-56</pages><issn>1076-9307</issn><eissn>1099-1158</eissn><abstract>ABSTRACT
We use a panel of 10 euro area countries to assess the determinants of long‐term sovereign bond yield spreads over the period 1999.01–2010.11. We find that government bond yield spreads are well explained by fiscal fundamentals over the crisis period. We also find that the menu of risk factors priced by markets has been significantly enriched since March 2009, including international risk, liquidity risk and the risk of the crisis' transmission among European Monetary Union member states. Finally, we find that transmission risk has increased considerably since spring 2009 because of rapidly increasing risk of investing in periphery bonds relative to core ones. Copyright © 2013 John Wiley & Sons, Ltd.</abstract><cop>Chichester</cop><pub>Blackwell Publishing Ltd</pub><doi>10.1002/ijfe.1484</doi><tpages>8</tpages><oa>free_for_read</oa></addata></record> |
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| language | eng |
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| source | Wiley Online Library Journals Frontfile Complete; EBSCOhost Business Source Complete |
| subjects | European Monetary Union Government bonds government debt International finance Manycountries panel analysis Risk assessment Risk factors Sovereign yields Spread Studies |
| title | PRICING SOVEREIGN BOND RISK IN THE EUROPEAN MONETARY UNION AREA: AN EMPIRICAL INVESTIGATION |
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