Determinants of government bondyield spreads in eurozone duringcrises
Başlık çevirisi mevcut değil.
- Tez No: 726476
- Danışmanlar: DR. ERİC DE SOUZA
- Tez Türü: Yüksek Lisans
- Konular: Ekonomi, Maliye, Economics, Finance
- Anahtar Kelimeler: Belirtilmemiş.
- Yıl: 2015
- Dil: İngilizce
- Üniversite: Europacollege
- Enstitü: Yurtdışı Enstitü
- Ana Bilim Dalı: Belirtilmemiş.
- Bilim Dalı: Belirtilmemiş.
- Sayfa Sayısı: 50
Özet
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Özet (Çeviri)
This paper studies the determinants of sovereign bond yield spreads across ten Eurozone countries between the first quarters of 2000 and 2014 with a special focus on developments during the global financial crisis that started in 2007 and sovereign debt crisis that started in 2009. Despite the single currency, with the outbreak of global financial crisis the spreads between yields on government bonds of Eurozone countries and those of Germany increased significantly. Widening of spreads have continued for some countries during the sovereign debt crisis and reached historical levels. We apply a fixed effect model to identify the role of credit risk, liquidity risk and global investors' risk aversion on the spreads by proxying with fiscal variables, bid-ask spread and US corporate bond spread respectively. We find that during the pre-crises period financial markets are unresponsive to deterioration in fiscal position of governments and global risk perception has the main role in determination of spread levels. With the start of financial turmoil after the second half of 2007 investors have started to pay more attention to fiscal fundamentals and demanded compensation for credit risk. And also with the beginning of the sovereign debt crisis, the liquidity conditions of government bonds have had an important role on the spreads. While before and during the global financial crisis general investors' risk aversion had kept its importance, according to our findings its role diminished significantly during the sovereign debt crisis especially for periphery countries with high debt burden.
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