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Sovereign yield spreads in the EMU : crisis and structural determinants

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Resumo: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.
Autores principais:Afonso, António
Outros Autores:Leal, Frederico Silva
Assunto:Public Debt Sovereign Spreads Fiscal Policy Financial Crisis EMU
Ano:2017
País:Portugal
Tipo de documento:working paper
Tipo de acesso:acesso aberto
Instituição associada:Universidade de Lisboa
Idioma:inglês
Origem:Repositório da Universidade de Lisboa

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