EconPapers    
Economics at your fingertips  
 

Bond Yields, Sovereign Risk and Maturity Structure

Marcos González-Fernández () and Carmen González-Velasco ()
Additional contact information
Marcos González-Fernández: Departamento de Dirección y Economía de la Empresa, Universidad de León, 24071 León, Spain
Carmen González-Velasco: Departamento de Dirección y Economía de la Empresa, Universidad de León, 24071 León, Spain

Risks, 2018, vol. 6, issue 4, 1-25

Abstract: The aim of this paper is to analyze the relation between maturity structure, sovereign bond yields and sovereign risk in the Economic and Monetary Union for the period of 1990–2013. The results confirm the existence of an inverse relationship between sovereign bond yields, sovereign risk and the maturity structure of sovereign debt, regardless of the proxy that is used to measure sovereign risk and the time variance of the variables employed. The results indicate that risk shortens the maturity structure of sovereign debt because it reduces the stock of long-term debt. The relationship between maturity structure and sovereign bond yields differs depending on the risk of the countries analyzed (non-monotonic relationship) and the differences between peripheral and core countries are greater for higher levels of the yields. If we control for the indebtedness level of these countries, the results show that the relationship between the sovereign bond yields and maturity strengthens as the debt level increases.

Keywords: maturity structure; sovereign risk; debt maturity; sovereign debt market (search for similar items in EconPapers)
JEL-codes: C G0 G1 G2 G3 M2 M4 K2 (search for similar items in EconPapers)
Date: 2018
References: View references in EconPapers View complete reference list from CitEc
Citations Track citations by RSS feed

Downloads: (external link)
https://www.mdpi.com/2227-9091/6/4/109/pdf (application/pdf)
https://www.mdpi.com/2227-9091/6/4/109/ (text/html)

Related works:
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:gam:jrisks:v:6:y:2018:i:4:p:109-:d:172937

Access Statistics for this article

Risks is currently edited by Prof. Dr. J. David Cummins

More articles in Risks from MDPI, Open Access Journal
Bibliographic data for series maintained by XML Conversion Team ().

 
Page updated 2018-11-03
Handle: RePEc:gam:jrisks:v:6:y:2018:i:4:p:109-:d:172937