Determinants of Government Bond Yield Spreads in EU Countries Cover Image

Determinants of Government Bond Yield Spreads in EU Countries
Determinants of Government Bond Yield Spreads in EU Countries

Author(s): Juraj Zeman
Subject(s): Economy
Published by: Ekonomický ústav SAV a Prognostický ústav SAV
Keywords: interest rates; fiscal policy; risk premium; crisis

Summary/Abstract: This paper explores factors that drive government yield spreads of EU countries’ bonds issued between 2000 and 2012. Using panel regression, it identifies three factors: a country specific factor related to country’s default risk, a common factor related to general risk aversion premium, and a liquidity factor. It compares bond pricing before and after the collapse of Lehman Brothers in October 2008, bond pricing of the euro area member states with countries outside of the monetary union and in particular contrasts pricing of these two groups of countries before and after the crisis.

  • Issue Year: 62/2014
  • Issue No: 06
  • Page Range: 598-608
  • Page Count: 11
  • Language: English