Economics at your fingertips  

Towards a common Eurozone risk free rate

Sergio Mayordomo (), Juan Ignacio Peña and Eduardo S. Schwartz

The European Journal of Finance, 2015, vol. 21, issue 12, 1005-1022

Abstract: We present a tentative estimate of a common risk free rate for the Eurozone (EZ) countries from January 2004 to November 2009. In a first stage, we analyse the determinants of EZ sovereign yield spreads and find significant effects of the credit quality, macro, correlation, liquidity, and interaction variables. Based on these results we estimate the yield a common EZ bond would provide. Finally, we compute potential savings in financing costs for countries participating in the scheme under a number of different scenarios. Although positive on average, these savings are dependent on market conditions and present substantial variation over time and across countries.

Date: 2015
References: Add references at CitEc
Citations: View citations in EconPapers (1) Track citations by RSS feed

Downloads: (external link) (text/html)
Access to full text is restricted to subscribers.

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:

Ordering information: This journal article can be ordered from

DOI: 10.1080/1351847X.2014.912670

Access Statistics for this article

The European Journal of Finance is currently edited by Chris Adcock

More articles in The European Journal of Finance from Taylor & Francis Journals
Bibliographic data for series maintained by Chris Longhurst ().

Page updated 2020-08-01
Handle: RePEc:taf:eurjfi:v:21:y:2015:i:12:p:1005-1022