Macroeconomic, financial and institutional determinants of Eurozone sovereign crisis - Evidence from daily data

Jean-yves Filbien (), Fabien Labondance and Yann Echinard ()
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Jean-yves Filbien: ESG UQAM
Yann Echinard: Université Pierre-Mendès-France de Grenoble

Economics Bulletin, 2013, vol. 33, issue 2, 1170-1176

Abstract: We empirically investigate the determinants of sovereign bond spreads in the euro area since the beginning of the crisis. We combine economic but also political uncertainty variables for three different groups of countries. We took into account an institutional shift in the spring 2010. Before the institutional shift, Greek bond yield spreads are explained by international factors more than by the market discipline. It appears that some institutional variables influenced the spreads. The ECB's communications relating to the sovereign bond crisis contribute to feeding it whereas meetings of the European Council contribute to lowering the spreads for the countries less affected by the crisis.

Keywords: Sovereign Bond Crisis; Sovereign Bond Yield Spreads; Eurozone; Governance (search for similar items in EconPapers)
JEL-codes: F3 G1 (search for similar items in EconPapers)
Date: 2013-05-13
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Citations: View citations in EconPapers (2)

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Persistent link: https://EconPapers.repec.org/RePEc:ebl:ecbull:eb-13-00098

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