Sovereign bond spreads determinants during the last financial crisis: The European case [Determinantes de Spreads soberanos durante la reciente crisis financiera: El caso Europeo]

Identifier:  PC:2647

Handle: https://hdl.handle.net/20.500.11797/PC2647

Authors:  Teruel, M.; Martinez, L.B.; Terceño, A.

Abstract:
This paper identifies the main determinants of sovereign bonds spreads, considering the German and US government bonds as benchmarks, for countries within the European Union and the European Monetary Union, from 2004 to 2011. The econometric methodology of panel data with fixed effects is applied, and the results indicate high adjustments in the face of the different benchmarks. The financial crisis shows a higher impact in those countries within the Eurozone. Future lines of research could contemplate a broader period of study, include more macroeconomic variables and group the countries according to the similarity of their fundamentals to conduct a more exhaustive analysis of the debt markets.