Sovereign yield spreads in the EMU: crisis and structural determinants
Antonio Afonso and
Frederico Leal ()
No 2017/09, Working Papers Department of Economics from ISEG - Lisbon School of Economics and Management, Department of Economics, Universidade de Lisboa
We use a panel of 11 EMU countries in the period 2000-2014 to assess the importance of political and economic determinants as explanatory factors in sovereign bond yield spreads. According to the results, there is evidence that those spread determinants gained importance after the beginning of the financial crisis. Following the crisis, the debt ratio, fiscal balance, expenditure on pension funds, the level of liquidity, GDP growth rate, and structural reforms have become relevant determinants of sovereign spreads, while fiscal rules have reduced spreads. Key Words : Public Debt, Sovereign Spreads, Fiscal Policy, Financial Crisis, EMU
JEL-codes: E43 E62 G01 H63 (search for similar items in EconPapers)
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Persistent link: https://EconPapers.repec.org/RePEc:ise:isegwp:wp092017
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More papers in Working Papers Department of Economics from ISEG - Lisbon School of Economics and Management, Department of Economics, Universidade de Lisboa Department of Economics, ISEG - Lisbon School of Economics and Management, Universidade de Lisboa, Rua do Quelhas 6, 1200-781 LISBON, PORTUGAL.
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