The Determinants of Greek Bond Yields: An Empirical Study Before and During the Crisis

Dionysios Chionis, Ioannis Pragidis () and Panagiotis Schizas
Additional contact information
Panagiotis Schizas: Democritus University of Thrace, Department of Economics, Postal: Department of Economics, University Campus, Komotini, 69100, Greece

No 6-2013, DUTH Research Papers in Economics from Democritus University of Thrace, Department of Economics

Abstract: In this paper we try to uncover the determinants of the 10-year Greek bond yield in both pre and post crisis period that caused the unprecedented event, in the recent history, a country, member of the Euro area, not to able to tap the market. In doing so, we employ two major set of variables, market driven and macroeconomic variables, following the recent literature. We find two classes of results. First, debt to GDP ratio, deficit, inflation and unemployment among others, play a more significant role as determinants of the 10-year Greek bond yield during the crisis than had before and second, during the crisis 10years yield is above the price that fundamentals would imply. Moreover, we explicitly test for the impact of speculation on the yield. These results are in line with other empirical studies and shed line to the motion of bond yield in an unprecedented in terms of fiscal consolidation era as it is in Greece.

Keywords: Sovereign bonds; Macroeconomic fundamentals; Greek Debt Crisis; Eurozone Debt crisis; Unrestricted VAR (search for similar items in EconPapers)
JEL-codes: E43 G12 G14 (search for similar items in EconPapers)
Pages: 23 pages
Date: 2013-12-05
New Economics Papers: this item is included in nep-eec and nep-mac
References: Add references at CitEc
Citations:

Downloads: (external link)
http://papers.ssrn.com/sol3/papers.cfm?abstract_id=2351333 Full text (application/pdf)

Related works:
Journal Article: The determinants of Greek bond yields: an empirical study before and during the crisis (2016)
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:ris:duthrp:2013_006

Access Statistics for this paper

More papers in DUTH Research Papers in Economics from Democritus University of Thrace, Department of Economics Department of Economics, University Campus, Komotini, 69100, Greece. Contact information at EDIRC.
Bibliographic data for series maintained by Periklis Gogas ().