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Sovereign risk premia in the European government bond market
Bernoth, Kerstin; Hagen, Jürgen/von; Schuknecht, Ludger - 2004
This paper provides a study of bond yield differentials among EU eurobonds issued between 1991 and 2002. Interest differentials between bonds issued by EU countries and Germany or the USA contain risk premia which increase with the debt, deficit and debt-service ratio and depend positively on...
Persistent link: https://www.econbiz.de/10009639423
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The impact of high and growing government debt on economic growth
Checherita, Cristina; Rother, Philipp - 2010
This paper investigates the average impact of government debt on per-capita GDP growth in twelve euro area countries over a period of about 40 years starting in 1970. It finds a non-linear impact of debt on growth with a turning point—beyond which the government debt-to-GDP ratio has a...
Persistent link: https://www.econbiz.de/10009640303
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Government bond risk premiums in the EU revisited
Schuknecht, Ludger; Hagen, Jürgen von; Wolswijk, Guido - 2010
This note looks at US$ and DM/Euro denominated government bond spreads relative to US and German benchmark bonds before and after the start of the current financial crisis. The study finds, first, that bond yield spreads before and during the crisis can largely be explained on the basis of...
Persistent link: https://www.econbiz.de/10009640407
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What explains the surge in euro area sovereign spreads during the financial crisis of 2007-09?
Attinasi, Maria-Grazia; Checherita, Cristina; Nickel, … - 2009
This paper uses a dynamic panel approach to explain the determinants of widening sovereign bond yield spreads vis-à-vis Germany in selected euro area countries during the period end-July 2007 to end-March 2009, when the financial turmoil developed into a full-blown financial and economic...
Persistent link: https://www.econbiz.de/10009640448
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Fiscal variables and bond spreads
Nickel, Christiane; Rother, Philipp; Rülke, Jan C. - 2009
, Hungary, Poland, Russia and Turkey from May 1998 to December 2007. To account for the importance of market expectations we use …
Persistent link: https://www.econbiz.de/10009640486
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Level, slope, curvature of the sovereign yield curve, and fiscal behaviour
Afonso, António; Martins, Manuel M.F. - 2010
We study fiscal behaviour and the sovereign yield curve in the U.S. and Germany in the period 1981:I-2009:IV. The latent factors, level, slope and curvature, obtained with the Kalman filter, are used in a VAR with macro and fiscal variables, controlling for financial stress conditions. In the...
Persistent link: https://www.econbiz.de/10009640508
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Consumer inflation expectations in Poland
£yziak, Tomasz - 2003
Inflation expectations constitute a subject of particular contemporary interest to central banks, especially those … to properties of inflation expectations. Qualitative data on inflation expectations, as obtained from surveys, can be … method, implemented in order to estimate numerical measures of Polish consumer inflation expectations, based on the monthly …
Persistent link: https://www.econbiz.de/10009635882
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Sporadic manipulation in money markets with central bank standing facilities
Ewerhart, Christian; Cassola, Nuno; Ejerskov, Steen; … - 2004
In certain market environments, a large investor may benefit from building up a futures position first and trading subsequently in the spot market (Kumar and Seppi, 1992). The present paper identifies a variation of this type of manipulation that might occur in money markets with an interest...
Persistent link: https://www.econbiz.de/10009639459
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Labour market reform and the sustainability of exchange rate pegs
Castrén, Olli; Takalo, Tuomas; Wood, Geoffrey - 2004
monetary authority in a dynamic setting. The fragility is captured by a devaluation premium in expectations that increases the …
Persistent link: https://www.econbiz.de/10009639466
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How much does the public know about the ECB's monetary policy?
Cruijsen, Carin van der; Jansen, David-Jan; Haan, Jakob de - 2010
's ability to form realistic inflation expectations. …
Persistent link: https://www.econbiz.de/10009640274