Sovereign risk premiums in the European government bond market

被引：118

作者：

Bernoth, Kerstin ^{[1
]}

von Hagen, Juergen ^{[2
,3
,4
]}

Schuknecht, Ludger ^{[5
,6
]}

机构：

[1] DIW Berlin, D-10117 Berlin, Germany

[2] Univ Bonn, D-53113 Bonn, Germany

[3] Kelley Sch Business, Bloomington, IN 47405 USA

[4] CEPR, London EC1V 3PZ, England

[5] European Cent Bank, D-60311 Frankfurt, Germany

[6] German Minist Finance, D-10117 Berlin, Germany

来源：

JOURNAL OF INTERNATIONAL MONEY AND FINANCE | 2012年 / 31卷 / 05期

关键词：

Sovereign bonds; Fiscal policy; EMU; Financial crisis; BUDGET DEFICITS; LIQUIDITY; SPREADS; EMU;

D O I：

10.1016/j.jimonfin.2011.12.006

中图分类号：

F8 [财政、金融];

学科分类号：

0202 ;

摘要：

This paper provides a study of bond yield differentials among EU government bonds on the basis of a unique data set of issue spreads in the US and DM (Euro) bond market between 1993 and 2009. Interest differentials between bonds issued by EU countries and Germany or the USA contain risk premiums which increase with fiscal imbalances and depend negatively on the issuer's relative bond market size. The start of the European Monetary Union has shifted market attention to deficit and debt service payments as key measures of fiscal soundness and eliminated liquidity premiums in the euro area. With the financial crisis, the cost of loose fiscal policy has increased considerably. (C) 2012 Elsevier Ltd. All rights reserved.

引用

页码：975 / 995

页数：21

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