High Yields: The Spread on German Interest Rates

Carlo Favero (), Francesco Giavazzi () and Luigi Spaventa

Economic Journal, 1997, vol. 107, issue 443, 956-85

Abstract: This paper is a first attempt at evaluating the determinants of the interest rate differentials on government bonds between high yielders, namely Italy, Spain and Sweden, and Germany. In particular the authors concentrate on daily frequencies, where the relevance of economic fundamentals is rather limited, and address the question of the relative importance of local and global factors in the determination of such spread. They identify and measure three components of total yield differentials: one due to expectations of exchange rate depreciation--which they call the exchange rate factor--another which reflects the market assessment of default risk and a last one due to the different taxation treatment of long-term yields. Copyright 1997 by Royal Economic Society.

Date: 1997
References: Add references at CitEc
Citations: View citations in EconPapers (82)

Downloads: (external link)
http://links.jstor.org/sici?sici=0013-0133%2819970 ... 0.CO%3B2-3&origin=bc full text (application/pdf)
Access to full text is restricted to JSTOR subscribers. See http://www.jstor.org for details.

Related works:
Working Paper: High Yields: The Spread on German Interest Rates (1996)
Working Paper: High Yields: The Spread on German Interest Rates (1996)
Working Paper: High Yielders: the Spread on German Interest Rates
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:ecj:econjl:v:107:y:1997:i:443:p:956-85

Ordering information: This journal article can be ordered from
http://www.blackwell ... al.asp?ref=0013-0133

Access Statistics for this article

Economic Journal is currently edited by Martin Cripps, Steve Machin, Woulter den Haan, Andrea Galeotti, Rachel Griffith and Frederic Vermeulen

More articles in Economic Journal from Royal Economic Society Contact information at EDIRC.
Bibliographic data for series maintained by Wiley-Blackwell Digital Licensing () and Christopher F. Baum ().