What Drives Sovereign Bond Yields in the Eurozone?

Nicholas Apergis (), Giuseppina Chesini () and Thomas Poufinas
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Giuseppina Chesini: University of Verona
Thomas Poufinas: Democritus University of Thrace

Chapter Chapter 8 in Debt in Times of Crisis, 2021, pp 237-265 from Springer

Abstract: Abstract Sovereign bond yields of the founding countries of the Euro have moved a lot during the last 20 years and not necessarily in the same direction, depending on the issuing country. Yields have turned negative for most of the maturities and (almost) for all founding members of the Euro. We find evidence that the debt to GDP, the real effective exchange rate, the current account balance to GDP, the unemployment rate the stock market volatility index and the total lending to GDP ratio have a positive impact, whereas the GDP growth posts a negative effect on the sovereign bond yields. Furthermore, both the financial and sovereign crises seem to have led to an increase of the yields, whereas the ECB purchase programs resulted in their decrease. The impact appears to be stronger for the euro-denominated versus the non-euro denominated bond yields, as well as for the Southern compared to the Northern countries.

Keywords: Sovereign bond; Yield; Euro; Crisis; Purchase program (search for similar items in EconPapers)
Date: 2021
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Persistent link: https://EconPapers.repec.org/RePEc:spr:sprchp:978-3-030-74162-4_8

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DOI: 10.1007/978-3-030-74162-4_8

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