Sovereign yield spreads in the EMU : crisis and structural determinants

Bibliographic Details
Main Author: Afonso, António
Publication Date: 2017
Other Authors: Leal, Frederico Silva
Format: Article
Language: eng
Source: Repositórios Científicos de Acesso Aberto de Portugal (RCAAP)
Download full: http://hdl.handle.net/10400.5/13364
Summary: We use a panel of 11 EMU countries in the period 2000-2014 to assess the importance of political and economic determinants as explanatory factors in sovereign bond yield spreads. According to the results, there is evidence that those spread determinants gained importance after the beginning of the financial crisis. Following the crisis, the debt ratio, fiscal balance, expenditure on pension funds, the level of liquidity, GDP growth rate, and structural reforms have become relevant determinants of sovereign spreads, while fiscal rules have reduced spreads.
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spelling Sovereign yield spreads in the EMU : crisis and structural determinantsPublic DebtSovereign SpreadsFiscal PolicyFinancial CrisisEMUWe use a panel of 11 EMU countries in the period 2000-2014 to assess the importance of political and economic determinants as explanatory factors in sovereign bond yield spreads. According to the results, there is evidence that those spread determinants gained importance after the beginning of the financial crisis. Following the crisis, the debt ratio, fiscal balance, expenditure on pension funds, the level of liquidity, GDP growth rate, and structural reforms have become relevant determinants of sovereign spreads, while fiscal rules have reduced spreads.ISEG - Departamento de EconomiaRepositório da Universidade de LisboaAfonso, AntónioLeal, Frederico Silva2017-03-21T10:48:04Z20172017-01-01T00:00:00Zinfo:eu-repo/semantics/publishedVersioninfo:eu-repo/semantics/articleapplication/pdfhttp://hdl.handle.net/10400.5/13364engAfonso, António e Frederico Silva Leal .2017. "Sovereign yield spreads in the EMU : crisis and structural determinants". Instituto Superior de Economia e Gestão - DE Working papers nº 9-2017/DE/UECE2183-1815info:eu-repo/semantics/openAccessreponame:Repositórios Científicos de Acesso Aberto de Portugal (RCAAP)instname:FCCN, serviços digitais da FCT – Fundação para a Ciência e a Tecnologiainstacron:RCAAP2025-03-17T16:24:43Zoai:repositorio.ulisboa.pt:10400.5/13364Portal AgregadorONGhttps://www.rcaap.pt/oai/openaireinfo@rcaap.ptopendoar:https://opendoar.ac.uk/repository/71602025-05-29T04:13:33.866600Repositórios Científicos de Acesso Aberto de Portugal (RCAAP) - FCCN, serviços digitais da FCT – Fundação para a Ciência e a Tecnologiafalse
dc.title.none.fl_str_mv Sovereign yield spreads in the EMU : crisis and structural determinants
title Sovereign yield spreads in the EMU : crisis and structural determinants
spellingShingle Sovereign yield spreads in the EMU : crisis and structural determinants
Afonso, António
Public Debt
Sovereign Spreads
Fiscal Policy
Financial Crisis
EMU
title_short Sovereign yield spreads in the EMU : crisis and structural determinants
title_full Sovereign yield spreads in the EMU : crisis and structural determinants
title_fullStr Sovereign yield spreads in the EMU : crisis and structural determinants
title_full_unstemmed Sovereign yield spreads in the EMU : crisis and structural determinants
title_sort Sovereign yield spreads in the EMU : crisis and structural determinants
author Afonso, António
author_facet Afonso, António
Leal, Frederico Silva
author_role author
author2 Leal, Frederico Silva
author2_role author
dc.contributor.none.fl_str_mv Repositório da Universidade de Lisboa
dc.contributor.author.fl_str_mv Afonso, António
Leal, Frederico Silva
dc.subject.por.fl_str_mv Public Debt
Sovereign Spreads
Fiscal Policy
Financial Crisis
EMU
topic Public Debt
Sovereign Spreads
Fiscal Policy
Financial Crisis
EMU
description We use a panel of 11 EMU countries in the period 2000-2014 to assess the importance of political and economic determinants as explanatory factors in sovereign bond yield spreads. According to the results, there is evidence that those spread determinants gained importance after the beginning of the financial crisis. Following the crisis, the debt ratio, fiscal balance, expenditure on pension funds, the level of liquidity, GDP growth rate, and structural reforms have become relevant determinants of sovereign spreads, while fiscal rules have reduced spreads.
publishDate 2017
dc.date.none.fl_str_mv 2017-03-21T10:48:04Z
2017
2017-01-01T00:00:00Z
dc.type.status.fl_str_mv info:eu-repo/semantics/publishedVersion
dc.type.driver.fl_str_mv info:eu-repo/semantics/article
format article
status_str publishedVersion
dc.identifier.uri.fl_str_mv http://hdl.handle.net/10400.5/13364
url http://hdl.handle.net/10400.5/13364
dc.language.iso.fl_str_mv eng
language eng
dc.relation.none.fl_str_mv Afonso, António e Frederico Silva Leal .2017. "Sovereign yield spreads in the EMU : crisis and structural determinants". Instituto Superior de Economia e Gestão - DE Working papers nº 9-2017/DE/UECE
2183-1815
dc.rights.driver.fl_str_mv info:eu-repo/semantics/openAccess
eu_rights_str_mv openAccess
dc.format.none.fl_str_mv application/pdf
dc.publisher.none.fl_str_mv ISEG - Departamento de Economia
publisher.none.fl_str_mv ISEG - Departamento de Economia
dc.source.none.fl_str_mv reponame:Repositórios Científicos de Acesso Aberto de Portugal (RCAAP)
instname:FCCN, serviços digitais da FCT – Fundação para a Ciência e a Tecnologia
instacron:RCAAP
instname_str FCCN, serviços digitais da FCT – Fundação para a Ciência e a Tecnologia
instacron_str RCAAP
institution RCAAP
reponame_str Repositórios Científicos de Acesso Aberto de Portugal (RCAAP)
collection Repositórios Científicos de Acesso Aberto de Portugal (RCAAP)
repository.name.fl_str_mv Repositórios Científicos de Acesso Aberto de Portugal (RCAAP) - FCCN, serviços digitais da FCT – Fundação para a Ciência e a Tecnologia
repository.mail.fl_str_mv info@rcaap.pt
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