Heterogeneity of the determinants of euro-area sovereign bond spreads; what does it tell us about financial stability?

Dimitris Georgoutsos and Petros Migiakis

Journal of Banking & Finance, 2013, vol. 37, issue 11, 4650-4664

Abstract: In this paper, we assess the movements of euro area sovereign bond yield spreads vis-à-vis the German Bund as processes specified across different levels of volatility and subject to movements in asset prices and economic conditions. The determinants we use are grouped into domestic and euro-area aggregates, thus allowing us to derive results on their relative explanatory power and compare them across time and the spectrum of countries. We find that volatility influences the deterministic processes of the euro area sovereign spreads and that identical determinants have effects on spreads that vary considerably across countries. Furthermore, we find that variables reflecting investment confidence conditions and perceptions for the upcoming economic activity are significant determinants and their significance remains, to a large extent, even when controlling for fiscal variables.

Keywords: Bond yield spreads; Euro area; Investment confidence; Financial stability (search for similar items in EconPapers)
JEL-codes: F21 F36 G12 G15 G32 (search for similar items in EconPapers)
Date: 2013
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (47)

Downloads: (external link)
http://www.sciencedirect.com/science/article/pii/S0378426613002951
Full text for ScienceDirect subscribers only

Related works:
Working Paper: Heterogeneity of the determinants of euro-area sovereign bond spreads; what does it tell us about financial stability? (2012)
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:eee:jbfina:v:37:y:2013:i:11:p:4650-4664

DOI: 10.1016/j.jbankfin.2013.07.025

Access Statistics for this article

Journal of Banking & Finance is currently edited by Ike Mathur

More articles in Journal of Banking & Finance from Elsevier
Bibliographic data for series maintained by Catherine Liu ().