EconPapers    
Economics at your fingertips  
 

An Update on EMU Sovereign Yield Spread Drivers in Times of Crisis: A Panel Data Analysis

Marta Gómez-Puig (), Simon Sosvilla-Rivero () and María del Carmen Ramos-Herrera ()
Additional contact information
María del Carmen Ramos-Herrera: Department of Quantitative Economics, Universidad Complutense de Madrid

No 201407, IREA Working Papers from University of Barcelona, Research Institute of Applied Economics

Abstract: We empirically investigate the determinants of EMU sovereign bond yield spreads with respect to the German bund. Using panel data techniques, we examine the role of a wide set of potential drivers. To our knowledge, this paper presents one of the most exhaustive compilations of the variables used in the literature to study the behaviour of sovereign yield spreads and, in particular, to gauge the effect on these spreads of changes in market sentiment and risk aversion. We use a sample of both central and peripheral countries from January 1999 to December 2012 and assess whether there were significant changes after the outbreak of the euro area debt crisis. Our results suggest that the rise in sovereign risk in central countries can only be partially explained by the evolution of local macroeconomic variables in those countries. Besides, without exception, the marginal effects of sovereign spread drivers (specifically, the variables that measure global market sentiment) increased during the crisis compared to the pre-crisis period, especially in peripheral countries.

Keywords: Sovereign bond spreads; Panel data; Eurozone. JEL classification: C33; C52; E44; F36; G15 (search for similar items in EconPapers)
Date: 2014-03, Revised 2014-03
References: View references in EconPapers View complete reference list from CitEc
Citations View citations in EconPapers (22) Track citations by RSS feed

Downloads: (external link)
http://www.ub.edu/irea/working_papers/2014/201407.pdf (application/pdf)

Related works:
Journal Article: An update on EMU sovereign yield spread drivers in times of crisis: A panel data analysis (2014) Downloads
Working Paper: An update on EMU sovereign yield spread drivers in times of crisis: A panel data analysis (2014) Downloads
Working Paper: An update on EMU sovereign yield spread drivers in time of crisis: A panel data analysis (2014) Downloads
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:ira:wpaper:201407

Access Statistics for this paper

More papers in IREA Working Papers from University of Barcelona, Research Institute of Applied Economics Contact information at EDIRC.
Bibliographic data for series maintained by Alicia García ().

 
Page updated 2018-08-08
Handle: RePEc:ira:wpaper:201407