Fiscal and Financial Determinants of Eurozone Sovereign Spreads

Giovanni Caggiano and Luciano Greco

No 148, "Marco Fanno" Working Papers from Dipartimento di Scienze Economiche "Marco Fanno"

Abstract: The relationship between fiscal and financial euro area indicators and sovereign yield spreads has changed after the start of the financial crisis. Increased financial volatility has magnified the impact of fiscal conditions as drivers of sovereign risk, has widened the set of macroeconomic determinants, and has caused substantial interactions between fiscal and financial variables.

Keywords: Fiscal policy; Financial Crisis; Refinancing risk; Regime switch; Cross-country Panel. (search for similar items in EconPapers)
JEL-codes: E43 E62 F32 H60 (search for similar items in EconPapers)
Pages: 10 pages
Date: 2012-07
New Economics Papers: this item is included in nep-eec, nep-mac and nep-pbe
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (30)

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Related works:
Journal Article: Fiscal and financial determinants of Eurozone sovereign spreads (2012)
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Persistent link: https://EconPapers.repec.org/RePEc:pad:wpaper:0148

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