The euro area bond yield spreads have largely converged since the beginning of the EMU. However, during the crisis most eurozone members reported dramatic rise in government bond yield differentials to German Bunds due to deteriorating public finance and liquidity conditions as well as increase...

This paper identifies the macroeconomic factors behind the sovereign credit ratings of global emerging markets assigned by Standard and Poor's (S&P). The financial integration and globalization of capital markets have facilitated the capital inflows/outflows among countries. Sovereign credit...

In the light of the recent financial crisis, we take a panel cointegration approach that allows for structural breaks to the analysis of the determinants of sovereign bond yield spreads in nine economies of the European Monetary Union. We find evidence for a level break in the cointegrating...

This paper investigates the determinants of sovereign debt defaults using Extreme Bounds Analysis (EBA). The EBA approach is applied for 190 countries over the period 1970 2010 to determine whether economic and political factors are “robust” or “fragile”. This study finds that debt...

We study the effects of the adoption of collective action clauses (CACs) on government bond yields by exploiting secondary market data on sovereign bonds quoted in international markets from March 2007 to April 2011. CACs are assessed security by security. Using a panel data approach, we find a...

We study the effects of the adoption of collective action clauses (CACs) on government bond yields by exploiting secondary market data on sovereigns quoted in international markets from March 2007 to April 2011. CACs are assessed security by security. Using a panel data approach, we find a...

This paper aims to identify the main determinants of sovereign bond spreads in seven Latin American countries and verify the existence of contagion effect over these markets during the last financial crisis. We apply a panel data framework and find that the inflation, terms of trade ratio and...

This paper reviews developments in the Cypriot economy following the introduction of the euro on 1 January 2008 and leading to the economic collapse of the island five years later. The main cause of the collapse is identi?ed with the election of a communist government in February 2008, within...

This study analyses the time-varying determinants of sovereign bond yield spreads between Q1/1999 and Q1/2010. Before the financial crisis, which started end of 2007, financial markets seemed to have had limited assessment of credit risks in sovereign bond markets and risk aversion did not play...

The article examines developments in euro area cross-border capital flows, together with benchmark rates and bank lending rates, and shows that the process of financial integration among euro area countries over the first years of the monetary union went temporarily into reverse, starting in...