THE IMPACT OF MONETARY UNION ON EU-15 SOVEREIGN DEBT YIELD SPREADS

Marta Gómez-Puig ()

No 05-11, Working Papers from Asociación Española de Economía y Finanzas Internacionales

Abstract: With European Monetary Union (EMU), there was an increase in the adjusted spreads (corrected from the foreign exchange risk) of euro participating countries´ sovereign securities over Germany and a decrease in those of non-euro countries. The objective of this paper is to study the reasons for this result, and in particular, whether the change in the price assigned by markets was due to domestic factors such as credit risk and/or market liquidity, or to international risk factors. The empirical evidence suggests that market size scale economies have increased since EMU for all European markets, so the effect of the various risk factors, even though it differs between euro and non-euro countries, is always dependent on the size of the market.

Keywords: Monetary integration; sovereign securities markets; international and domestic credit risk; and market liquidity (search for similar items in EconPapers)
JEL-codes: E44 F36 G15 (search for similar items in EconPapers)
Pages: 34 pages
Date: 2005-12
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http://www.aeefi.com/RePEc/pdf/defi05-11.pdf (application/pdf)

Related works:
Working Paper: The Impact of Monetary Union on EU-15 Sovereign Debt Yield Spreads (2006)
Working Paper: The Impact of Monetary Union on EU-15 Sovereign Debt Yield Spreads
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Persistent link: https://EconPapers.repec.org/RePEc:aee:wpaper:0511

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