Differences in main drivers for sovereign risk spread in euro and non-euro countries.

Kód výsledku v IS VaVaI

<a href="https://www.isvavai.cz/riv?ss=detail&h=RIV%2F47813059%3A19520%2F13%3A%230002190" target="_blank" >RIV/47813059:19520/13:#0002190 - isvavai.cz</a>

Výsledek na webu

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DOI - Digital Object Identifier

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Jazyk výsledku

angličtina

Název v původním jazyce

Differences in main drivers for sovereign risk spread in euro and non-euro countries.

Popis výsledku v původním jazyce

The aim of the paper is to examine the main drivers for sovereign risk spread in the European Union member states in a period 1990-2011. The empirical estimation is performed for 24 EU member states; Germany, Luxembourg, Estonia as well as Croatia were excluded. We performed estimation on three different panels (EU24, EURO, non EURO) with the goal to find differences between euro and non-euro countries We used next variables for testing the impact on sovereign bond spread: German Bunds' interest, budgetbalance to GDP, debt to GDP, GDP growth, openness, terms of trade growth, inflation and the fiscal rules index. Correlation analysis identified the strong correlation between sovereign yield spread and budget balance. This is the common trend for all panels. Likewise, fiscal rules index is strong correlated with spread and it is more noticeable in EURO panel. The improvement of fiscal discipline reduces sovereign yield spreads. The biggest difference between panels was found for the de

Název v anglickém jazyce

Differences in main drivers for sovereign risk spread in euro and non-euro countries.

Popis výsledku anglicky

The aim of the paper is to examine the main drivers for sovereign risk spread in the European Union member states in a period 1990-2011. The empirical estimation is performed for 24 EU member states; Germany, Luxembourg, Estonia as well as Croatia were excluded. We performed estimation on three different panels (EU24, EURO, non EURO) with the goal to find differences between euro and non-euro countries We used next variables for testing the impact on sovereign bond spread: German Bunds' interest, budgetbalance to GDP, debt to GDP, GDP growth, openness, terms of trade growth, inflation and the fiscal rules index. Correlation analysis identified the strong correlation between sovereign yield spread and budget balance. This is the common trend for all panels. Likewise, fiscal rules index is strong correlated with spread and it is more noticeable in EURO panel. The improvement of fiscal discipline reduces sovereign yield spreads. The biggest difference between panels was found for the de

Druh

D - Stať ve sborníku

CEP obor

AH - Ekonomie

OECD FORD obor

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Projekt

<a href="/cs/project/GAP403%2F11%2F2073" target="_blank" >GAP403/11/2073: Procykličnost finančních trhů, bubliny v cenách aktiv a makroprudenční regulace</a><br>

Návaznosti

P - Projekt vyzkumu a vyvoje financovany z verejnych zdroju (s odkazem do CEP)

Rok uplatnění

2013

Kód důvěrnosti údajů

S - Úplné a pravdivé údaje o projektu nepodléhají ochraně podle zvláštních právních předpisů

Název statě ve sborníku

Eurozone Future: From Crizis to Stabilization, reform and Growth?

ISBN

978-80-87106-69-3

ISSN

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e-ISSN

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Počet stran výsledku

13

Strana od-do

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Název nakladatele

Martin Stříž Publishing

Místo vydání

Bučovice

Místo konání akce

Brno

Datum konání akce

28. 11. 2013

Typ akce podle státní příslušnosti

EUR - Evropská akce

Kód UT WoS článku

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