Fiscal and financial determinants of Eurozone sovereign spreads

Giovanni Caggiano and Luciano Greco

Economics Letters, 2012, vol. 117, issue 3, 774-776

Abstract: The relationship between fiscal and financial euro area indicators and sovereign yield spreads has changed after the start of the financial crisis. Increased financial volatility has magnified the impact of fiscal conditions as drivers of sovereign risk, has widened the set of macroeconomic determinants, and has caused substantial interactions between fiscal and financial variables.

Keywords: Fiscal policy; Financial crisis; Refinancing risk; Regime switch; Cross-country panel (search for similar items in EconPapers)
JEL-codes: E43 E62 F32 H60 (search for similar items in EconPapers)
Date: 2012
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Citations: View citations in EconPapers (23)

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Working Paper: Fiscal and Financial Determinants of Eurozone Sovereign Spreads (2012)
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Persistent link: https://EconPapers.repec.org/RePEc:eee:ecolet:v:117:y:2012:i:3:p:774-776

DOI: 10.1016/j.econlet.2012.08.041

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