Sovereign Risk Premia in the European Bond Market

Juergen von Hagen, Ludger Schuknecht and Kerstin Bernoth ()

No 4465, CEPR Discussion Papers from C.E.P.R. Discussion Papers

Abstract: This Paper provides a study of bond yield differentials among EU eurobonds issued between 1991 and 2002. Interest differentials between bonds issued by EU countries and Germany or the USA contain risk premia which increase with the debt, deficit and debt-service ratio and depend positively on the issuer's relative bond market size. Global investors' attitude towards credit risk, measured as the yield spread between low grade US corporate bonds and government bonds, also affects bond yield spreads between EU countries and Germany/USA. The start of the European Monetary Union had significant effects on the bond pricing of the member states.

Keywords: Asset pricing; Determination of interest rates; Fiscal policy; Government debt (search for similar items in EconPapers)
JEL-codes: E43 E62 G12 H63 (search for similar items in EconPapers)
Date: 2004-07
References: Add references at CitEc
Citations: View citations in EconPapers (135)

Downloads: (external link)
https://cepr.org/publications/DP4465 (application/pdf)
CEPR Discussion Papers are free to download for our researchers, subscribers and members. If you fall into one of these categories but have trouble downloading our papers, please contact us at subscribers@cepr.org

Related works:
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:cpr:ceprdp:4465

Ordering information: This working paper can be ordered from
https://cepr.org/publications/DP4465

Access Statistics for this paper

More papers in CEPR Discussion Papers from C.E.P.R. Discussion Papers Centre for Economic Policy Research, 33 Great Sutton Street, London EC1V 0DX.
Bibliographic data for series maintained by ().