What Drives Sovereign Risk Premiums?: An Analysis of Recent Evidence from the Euro Area
This paper analyses recent large movements in the yield spread for sovereign bonds as between Germany and other euro area countries. While the general increase in risk aversion that has characterised the financial crisis is an important factor on its own, it is found that this has also magnified the...
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| Format: | Elektronisch E-Book |
| Sprache: | English |
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Paris
OECD Publishing
2009
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| Schriftenreihe: | OECD Economics Department Working Papers
no.718 |
| Schlagworte: | |
| Online-Zugang: | Volltext |
| Zusammenfassung: | This paper analyses recent large movements in the yield spread for sovereign bonds as between Germany and other euro area countries. While the general increase in risk aversion that has characterised the financial crisis is an important factor on its own, it is found that this has also magnified the importance of fiscal performance, in particular as measured by the ratio of debt service to tax receipts and expected fiscal deficits. Moreover, there is evidence to suggest that such effects are non-linear, so that incremental deteriorations in fiscal performance lead to ever larger increases in the spread. These findings imply that financial market reaction could become an increasingly important constraint on fiscal policy for some countries, a feature which was much less apparent in the years prior to the financial crisis when general risk aversion was abnormally low. |
| Beschreibung: | 1 Online-Ressource (24 p.) 21 x 29.7cm. |
| DOI: | 10.1787/222675756166 |
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| spelling | Haugh, David VerfasserIn aut What Drives Sovereign Risk Premiums? An Analysis of Recent Evidence from the Euro Area David, Haugh, Patrice, Ollivaud and David, Turner = Quels sont les déterminants des primes de risque des États ? : Une analyse récente de la zone euro / David, Haugh, Patrice, Ollivaud et David, Turner Quels sont les déterminants des primes de risque des États ? Paris OECD Publishing 2009 1 Online-Ressource (24 p.) 21 x 29.7cm. Text txt rdacontent Computermedien c rdamedia Online-Ressource cr rdacarrier OECD Economics Department Working Papers no.718 This paper analyses recent large movements in the yield spread for sovereign bonds as between Germany and other euro area countries. While the general increase in risk aversion that has characterised the financial crisis is an important factor on its own, it is found that this has also magnified the importance of fiscal performance, in particular as measured by the ratio of debt service to tax receipts and expected fiscal deficits. Moreover, there is evidence to suggest that such effects are non-linear, so that incremental deteriorations in fiscal performance lead to ever larger increases in the spread. These findings imply that financial market reaction could become an increasingly important constraint on fiscal policy for some countries, a feature which was much less apparent in the years prior to the financial crisis when general risk aversion was abnormally low. Economics Euro Area Ollivaud, Patrice MitwirkendeR ctb Turner, David MitwirkendeR ctb FWS01 ZDB-13-SOC FWS_PDA_SOC https://doi.org/10.1787/222675756166 Volltext |
| spellingShingle | Haugh, David What Drives Sovereign Risk Premiums? An Analysis of Recent Evidence from the Euro Area Economics Euro Area |
| title | What Drives Sovereign Risk Premiums? An Analysis of Recent Evidence from the Euro Area |
| title_alt | Quels sont les déterminants des primes de risque des États ? |
| title_auth | What Drives Sovereign Risk Premiums? An Analysis of Recent Evidence from the Euro Area |
| title_exact_search | What Drives Sovereign Risk Premiums? An Analysis of Recent Evidence from the Euro Area |
| title_full | What Drives Sovereign Risk Premiums? An Analysis of Recent Evidence from the Euro Area David, Haugh, Patrice, Ollivaud and David, Turner = Quels sont les déterminants des primes de risque des États ? : Une analyse récente de la zone euro / David, Haugh, Patrice, Ollivaud et David, Turner |
| title_fullStr | What Drives Sovereign Risk Premiums? An Analysis of Recent Evidence from the Euro Area David, Haugh, Patrice, Ollivaud and David, Turner = Quels sont les déterminants des primes de risque des États ? : Une analyse récente de la zone euro / David, Haugh, Patrice, Ollivaud et David, Turner |
| title_full_unstemmed | What Drives Sovereign Risk Premiums? An Analysis of Recent Evidence from the Euro Area David, Haugh, Patrice, Ollivaud and David, Turner = Quels sont les déterminants des primes de risque des États ? : Une analyse récente de la zone euro / David, Haugh, Patrice, Ollivaud et David, Turner |
| title_short | What Drives Sovereign Risk Premiums? |
| title_sort | what drives sovereign risk premiums an analysis of recent evidence from the euro area |
| title_sub | An Analysis of Recent Evidence from the Euro Area |
| topic | Economics Euro Area |
| topic_facet | Economics Euro Area |
| url | https://doi.org/10.1787/222675756166 |
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