Modelling the Dynamics of Sovereign Risk Premium [Modelarea dinamicii primei de risc suveran]

Adina Fudulache

Revista OEconomica, 2014, issue 02

Abstract:

This paper investigates the main determinants of the market-assessed sovereign risk premium in Romania, measured by the Option-Adjusted Spreads, from 2003 to 2013. The results show that the dynamics of sovereign spreads can be explained by both risk aversion indicators and macroeconomic fundamentals. Domestic fundamentals are found to be significant in explaining those spreads.

Keywords: sovereign spreads; macroeconomic fundamentals; European volatility; financial crisis; risk premium shocks (search for similar items in EconPapers)
JEL-codes: C22 C32 E43 E44 E58 F34 G12 (search for similar items in EconPapers)
Date: 2014
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Persistent link: https://EconPapers.repec.org/RePEc:oen:econom:y:2014:i:02:id:387

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