Macroeconomic, financial and institutional determinants of Eurozone sovereign crisis

Jean-Yves Filbien, Fabien Labondance () and Yann Echinard ()
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Jean-Yves Filbien: ESG - Ecole des Sciences de la Gestion - UQAM - Université du Québec à Montréal = University of Québec in Montréal
Fabien Labondance: CEMOI - Centre d'Économie et de Management de l'Océan Indien - UR - Université de La Réunion
Yann Echinard: CESICE - Centre d'études sur la sécurité internationale et les coopérations européennes - UPMF - Université Pierre Mendès France - Grenoble 2 - IEPG - Sciences Po Grenoble - Institut d'études politiques de Grenoble

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Abstract: We empirically investigate the determinants of sovereign bond spreads in the euro area since the beginning of the crisis. We combine economic but also political uncertainty variables for three different groups of countries. We took into account an institutional shift in the spring 2010. Before the institutional shift, Greek bond yield spreads are explained by international factors more than by the market discipline. It appears that some institutional variables influenced the spreads. The ECB's communications relating to the sovereign bond crisis contribute to feeding it whereas meetings of the European Council contribute to lowering the spreads for the countries less affected by the crisis.

Keywords: Sovereign Bond Crisis; Governance; Sovereign Bond Yield Spreads; Eurozone; Revue AERES (search for similar items in EconPapers)
Date: 2013
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Citations: View citations in EconPapers (1)

Published in Economics Bulletin, 2013, 33 (2), pp.1170 -1176

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Persistent link: https://EconPapers.repec.org/RePEc:hal:journl:hal-01243427

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