Fiscal and financial determinants of Eurozone sovereign spreads

被引：15
|
作者：
Caggiano, Giovanni [1 ]
Greco, Luciano [1 ]
机构：
[1] Univ Padua, Dept Econ & Management, I-35100 Padua, Italy
来源：
ECONOMICS LETTERS | 2012年 / 117卷 / 03期
关键词：
Fiscal policy; Financial crisis; Refinancing risk; Regime switch; Cross-country panel;
D O I：
10.1016/j.econlet.2012.08.041
中图分类号：
F [经济];
学科分类号：
02 ;
摘要：
The relationship between fiscal and financial euro area indicators and sovereign yield spreads has changed after the start of the financial crisis. Increased financial volatility has magnified the impact of fiscal conditions as drivers of sovereign risk, has widened the set of macroeconomic determinants, and has caused substantial interactions between fiscal and financial variables. (C) 2012 Elsevier B.V. All rights reserved.
引用
收藏
页码：774 / 776
页数：3
相关论文
共 50 条
  • [1] Determinants of sovereign yield spreads in the Eurozone: A Bayesian approach
    Maltritz, Dominik
    JOURNAL OF INTERNATIONAL MONEY AND FINANCE, 2012, 31 (03) : 657 - 672
  • [2] Impacts of the financial crisis on eurozone sovereign CDS spreads
    Guenduez, Yalin
    Kaya, Orcun
    JOURNAL OF INTERNATIONAL MONEY AND FINANCE, 2014, 49 : 425 - 442
  • [3] Political and Fiscal Risk Determinants of Sovereign Spreads in Emerging Markets
    Baldacci, Emanuele
    Gupta, Sanjeev
    Mati, Amine
    REVIEW OF DEVELOPMENT ECONOMICS, 2011, 15 (02) : 251 - 263
  • [4] Sovereign spreads in the eurozone: which prospects for a Eurobond?
    Favero, Carlo
    Missale, Alessandro
    ECONOMIC POLICY, 2012, (70) : 231 - 273
  • [5] Factor decomposition of the Eurozone sovereign CDS spreads
    Fabozzi, Frank J.
    Giacometti, Rosella
    Tsuchida, Naoshi
    JOURNAL OF INTERNATIONAL MONEY AND FINANCE, 2016, 65 : 1 - 23
  • [6] Sovereign spreads and the effects of fiscal austerity
    Anzoategui, Diego
    JOURNAL OF INTERNATIONAL ECONOMICS, 2022, 139
  • [7] The effects of fiscal opacity on sovereign credit spreads
    Peat, Maurice
    Svec, Jiri
    Wang, Jue
    EMERGING MARKETS REVIEW, 2015, 24 : 34 - 45
  • [8] Assigning Eurozone sovereign credit ratings using CDS spreads
    van de Ven, Rick
    Dabadghao, Shaunak
    Chockalingam, Arun
    JOURNAL OF RISK FINANCE, 2018, 19 (05) : 478 - 512
  • [9] Macroeconomic, financial and institutional determinants of Eurozone sovereign crisis - Evidence from daily data
    Filbien, Jean-yves
    Labondance, Fabien
    Echinard, Yann
    ECONOMICS BULLETIN, 2013, 33 (02): : 1170 - 1176
  • [10] Financial markets and fiscal discipline in the Eurozone
    Canale, Rosaria Rita
    De Simone, Elina
    Spagnolo, Nicola
    STRUCTURAL CHANGE AND ECONOMIC DYNAMICS, 2021, 58 : 490 - 499
12345