L'impact des fondamentaux macroéconomiques sur les spreads souverains de la zone euro est-il influencé par les réformes financières ?

Olivier Damette, Gilles Dufrénot () and Philippe Froute

Revue économique, 2011, vol. 62, issue 6, 1135-1145

Abstract: In this paper we examine whether the weights of the forecasted macroeconomic variables in the valuation of sovereign risks has changed after the adoption of the Bâle 2 new regulation framework (around the years 2005/2006 when the new rules begun to be implemented in Europe). For purpose of illustration, we examine the case of France, Germany and Greece. We estimate a time-varying probability Markov Switching model in which the break date is endogenous. Our results show differences across countries. Classification JEL : C51, F36, H39

JEL-codes: C51 F36 H39 (search for similar items in EconPapers)
Date: 2011
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