Determinants of sovereign risk premia for European emerging markets
Mirna Dumicic and
Additional contact information
Mirna Dumicic: Croatian National Bank, Zagreb
Tomislav Rizdak: Croatian National Bank, Zagreb
Financial Theory and Practice, 2011, vol. 35, issue 3, 277-279
This paper analyses the determinants of the changes in sovereign bond spreads in emerging European markets before and during the recent global financial crisis. In particular, these determinants are associated with changes in market sentiment and in domestic macroeconomic fundamentals. The model was estimated on panel ata for eight central and eastern European countries between Q1:2000 and Q2:2010, using least squares and controlling for serial correlation. The results show that the dynamics of spreads can be explained by both market sentiment indicators and macroeconomic fundamentals. In particular, the external imbalances did not exert any discernible effect on spreads prior to the crisis, but became increasingly significant as the crisis broke out.
Keywords: sovereign bond spreads; emerging markets; central and eastern Europe; global financial crisis; market sentiment; macroeconomic fundamentals (search for similar items in EconPapers)
References: Add references at CitEc
Citations: View citations in EconPapers (5) Track citations by RSS feed
Downloads: (external link)
This item may be available elsewhere in EconPapers: Search for items with the same title.
Export reference: BibTeX
RIS (EndNote, ProCite, RefMan)
Persistent link: https://EconPapers.repec.org/RePEc:ipf:finteo:v:35:y:2011:i:3:p:277-299
Access Statistics for this article
More articles in Financial Theory and Practice from Institute of Public Finance Contact information at EDIRC.
Bibliographic data for series maintained by Martina Fabris ().