government bond yields and spreads
The determinants of sovereign bond yield spreads in the EMU
... EMU government bond yields, or their spread against Germany, fall into two broad categories, respectively covering the period prior to and following the global financial ...on ...
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The determinants of sovereign bond yield spreads in the EMU
... the government bond yields spreads in the euro ...Portugal and Spain) using quarterly data from 1995 to ...potential spreads’ determinants such as fiscal fundamentals, ...
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The effects of macroeconomic, fiscal and monetary policy announcements on sovereign bond spreads : an event Study from the EMU
... variables and related these to interest rates or yields or financial ...sizable and statistically significant effect of projected surpluses on the spread between long-term treasury yields ...
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Long-term Government Bond Yields and Economic Forecasts: Evidence for the EU
... debt/deficit and interest rates remains largely an empirical ...US and for some EU countries, conclude that the reduction of yields and lower spreads of long-term rates over short-term ...
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Government Bond Yield Spreads in EMU Countries: the Story of an Ephemeral Convergence
... 10-year government bond yields of EMU countries and ...mentioned spreads widening effect the GFC had by taking into account countries’ fiscal fundamentals, another phenomenon should be ...
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Contagion in EU Sovereign Yield Spreads
... 2008, and the intensification of the international financial crisis during 2008-2009, fiscal imbalances increased in several Euro Area countries and long-term government bond yields ...
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The influence of rating notations on the government bond yields of Greece, Ireland and Portugal: an econometric approach
... prices and market liquidity, the uncertainty and the increase of the overnight interest rates led to higher ...financial and possibly economic shocks. The major idea was to split the risk and ...
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Determinants of sovereign bond spreads in the EMU
... one´s government pays a given amount of interest on its sovereign ...sovereign bond yields that are used by market participants – institutional investors such as insurance companies and banks ...
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Determinants of sovereign bond yield spreads in the EMU: an optimal currency area perspective
... debt and the government budget balance represent those deter- minants most directly linked with sovereign default risk as they capture deterioration in fiscal ...theory and common sense suggest that ...
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Budgetary decomposition and yield spreads
... risk, and in a liquid market there is a large-scale transactions impinge less on prices (Barrios 2009), this allows differences between government bonds ...(2003) and Favero et al (2010) find that ...
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The determinants of Euro Zone Government credit spreads
... risk and liquidity risk, which usually are very hard to analyze ...default and liquidity ...risk: spreads between sovereign yields and corporate yields and the difference ...
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The impact of fiscal policy on government bond spreads in emerging markets
... the spreads of government bonds is particularly com- plex for two ...Firstly, spreads depend on the relative strength of the effect of the factors mentioned in different ...affect bond ...
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Determinants of the portuguese government bonds yields
... However and regarding labour productivity, Ichiue (2012), by employing a forecast of the annualized labour productivity growth rate, conclude that an increase in the expected productivity growth rate leads to a ...
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Determinants of the portuguese government bond yields
... size and depth of the government bond market and aims to capture the possibility of capital losses in the event of early liquidation or significant price changes resulting from a small number ...
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Bounds for different spreads of line and total graphs
... In this paper we explore some results concerning the spread of the line and the total graph of a given graph. A sufficient condition for the spread of a unicyclic graph with an odd girth to be at most the spread ...
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Sovereign spreads, monetary and fiscal policy events : evidence for EU
... (Afonso and Strauch, 2007; Arru et al., 2012; and Andersen et ...(2001) and Andersen et ...countries and these reactions are only captured by negative ...
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Credit portability and spreads
... Pereima and Pauli (2008), Dantas, Medeiros, and Capelleto (2012) and Oreiro et ...customer and the guarantee), the macroeconomic situation of the country ...Inflation), and the ...
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DETERMINANTS OF THE PORTUGUESE GOVERNMENT BOND YIELD SPREAD
... German government bond ...German government was never considered to be in any kind of financial trouble during the crisis, even when the aforementioned countries were facing ...yield and the ...
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LIQUIDITY RISK PREMIA: AN EMPIRICAL ANALYSIS OF EUROPEAN CORPORATE BOND YIELDS
... The main aim of this study was to clearly illustrate the impact of liquidity risk, especially during the subprime crisis, thus demonstrating the need to consider an [r] ...
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Financial intermediation and credit spreads
... The setup used in Correia et al. (2012) builds on the framework developed in GKa. However here the central bank does not work as a financial intermediary. The assumptions on the structure of private intermediaries are ...
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