Sovereign Spreads: Global Risk Aversion, Contagion or Fundamentals?
Over the past year, euro area sovereign spreads have exhibited an unprecedented degree of volatility. This paper explores how much of these large movements reflected shifts in (i) global risk aversion (ii) country-specific risks, directly from worsening fundamentals, or indirectly from spillovers or...
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| Format: | Elektronisch E-Book |
| Sprache: | English |
| Veröffentlicht: |
Washington, D.C
International Monetary Fund
2010
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| Schriftenreihe: | IMF Working Papers
Working Paper No. 10/120 |
| Online-Zugang: | UBW01 UEI01 LCO01 SBR01 UER01 SBG01 UBG01 FAN01 UBT01 FKE01 UBY01 UBA01 FLA01 UBM01 UPA01 UBR01 FHA01 FNU01 BSB01 TUM01 URL des Erstveröffentlichers |
| Zusammenfassung: | Over the past year, euro area sovereign spreads have exhibited an unprecedented degree of volatility. This paper explores how much of these large movements reflected shifts in (i) global risk aversion (ii) country-specific risks, directly from worsening fundamentals, or indirectly from spillovers originating in other sovereigns. The analysis shows that earlier in the crisis, the surge in global risk aversion was a significant factor influencing sovereign spreads, while recently country-specific factors have started playing a more important role. The perceived source of contagion itself has changed: previously, it could be found among those sovereigns hit hard by the financial crisis, such as Austria, the Netherlands, and Ireland, whereas lately the countries putting pressure on euro area government bonds have been primarily Greece, Portugal, and Spain, as the emphasis has shifted towards short-term refinancing risk and long-term fiscal sustainability. The paper concludes that debt sustainability and appropriate management of sovereign balance sheets are necessary conditions for preventing sovereign risk from feeding back into broader financial stability concerns |
| Beschreibung: | 1 Online-Ressource (29 p) |
| ISBN: | 1455200794 9781455200795 |
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| index_date | 2024-07-03T20:13:27Z |
| indexdate | 2024-07-10T09:35:36Z |
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| record_format | marc |
| series2 | IMF Working Papers |
| spelling | Segoviano Basurto, Miguel A. Verfasser aut Sovereign Spreads Global Risk Aversion, Contagion or Fundamentals? Segoviano Basurto, Miguel A Washington, D.C International Monetary Fund 2010 1 Online-Ressource (29 p) txt rdacontent c rdamedia cr rdacarrier IMF Working Papers Working Paper No. 10/120 Over the past year, euro area sovereign spreads have exhibited an unprecedented degree of volatility. This paper explores how much of these large movements reflected shifts in (i) global risk aversion (ii) country-specific risks, directly from worsening fundamentals, or indirectly from spillovers originating in other sovereigns. The analysis shows that earlier in the crisis, the surge in global risk aversion was a significant factor influencing sovereign spreads, while recently country-specific factors have started playing a more important role. The perceived source of contagion itself has changed: previously, it could be found among those sovereigns hit hard by the financial crisis, such as Austria, the Netherlands, and Ireland, whereas lately the countries putting pressure on euro area government bonds have been primarily Greece, Portugal, and Spain, as the emphasis has shifted towards short-term refinancing risk and long-term fiscal sustainability. The paper concludes that debt sustainability and appropriate management of sovereign balance sheets are necessary conditions for preventing sovereign risk from feeding back into broader financial stability concerns Online-Ausg Caceres, Carlos Sonstige oth Guzzo, Vincenzo Sonstige oth http://elibrary.imf.org/view/IMF001/10933-9781455200795/10933-9781455200795/10933-9781455200795.xml Verlag URL des Erstveröffentlichers Volltext |
| spellingShingle | Segoviano Basurto, Miguel A. Sovereign Spreads Global Risk Aversion, Contagion or Fundamentals? |
| title | Sovereign Spreads Global Risk Aversion, Contagion or Fundamentals? |
| title_auth | Sovereign Spreads Global Risk Aversion, Contagion or Fundamentals? |
| title_exact_search | Sovereign Spreads Global Risk Aversion, Contagion or Fundamentals? |
| title_exact_search_txtP | Sovereign Spreads Global Risk Aversion, Contagion or Fundamentals? |
| title_full | Sovereign Spreads Global Risk Aversion, Contagion or Fundamentals? Segoviano Basurto, Miguel A |
| title_fullStr | Sovereign Spreads Global Risk Aversion, Contagion or Fundamentals? Segoviano Basurto, Miguel A |
| title_full_unstemmed | Sovereign Spreads Global Risk Aversion, Contagion or Fundamentals? Segoviano Basurto, Miguel A |
| title_short | Sovereign Spreads |
| title_sort | sovereign spreads global risk aversion contagion or fundamentals |
| title_sub | Global Risk Aversion, Contagion or Fundamentals? |
| url | http://elibrary.imf.org/view/IMF001/10933-9781455200795/10933-9781455200795/10933-9781455200795.xml |
| work_keys_str_mv | AT segovianobasurtomiguela sovereignspreadsglobalriskaversioncontagionorfundamentals AT cacerescarlos sovereignspreadsglobalriskaversioncontagionorfundamentals AT guzzovincenzo sovereignspreadsglobalriskaversioncontagionorfundamentals |