Sovereign Bond Spreads determinants during the last financial crisis: The European case

Identifier:  imarina:9446212

Handle: https://hdl.handle.net/20.500.11797/imarina9446212

Authors:  Lisana Belén Martínez; Antonio Terceño Gómez; Mercedes Teruel Carrizosa

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 fixedeffects is applied, and the results indicate high adjustments in the faceof the different benchmarks. The financial crisis shows a higher impactin those countries within the Eurozone. Future lines of research couldcontemplate a broader period of study, include more macroeconomicvariables and group the countries according to the similarity of theirfundamentals to conduct a more exhaustive analysis of the debt markets.