The pricing of G7 sovereign bond spreads: the times, they are a-changin

Michael Ehrmann and Antonello D'Agostino

No 1520, Working Paper Series from European Central Bank

Abstract: Against the background of the current debate about fiscal sustainability in several advanced economies, this paper estimates determinants of G7 sovereign bond spreads, using high-frequency proxies for market expectations about macroeconomic fundamentals and allowing for time-varying parameters. The paper finds substantial asymmetry in the importance of country fundamentals and considerable time variations in the pricing of risks. There has been a reduced pricing of several risk factors in the years preceding the financial crisis, and either an overpricing of risk or the pricing of a re-denomination risk of euro area bonds during the European sovereign debt crisis. JEL Classification: E43, E44, F34, G15

Keywords: fiscal policy; sovereign spreads; time‐varying coefficients (search for similar items in EconPapers)
Date: 2013-03
Note: 203739
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (16)

Downloads: (external link)
https://www.ecb.europa.eu//pub/pdf/scpwps/ecbwp1520.pdf (application/pdf)

Related works:
Journal Article: The pricing of G7 sovereign bond spreads – The times, they are a-changin (2014)
Working Paper: The pricing of G7 sovereign bond spreads – the times, they are a-changin (2012)
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:ecb:ecbwps:20131520

Access Statistics for this paper

More papers in Working Paper Series from European Central Bank 60640 Frankfurt am Main, Germany. Contact information at EDIRC.
Bibliographic data for series maintained by Official Publications ().