An empirical analysis on the determinants of CEE government bond spreads

被引：31

作者：

Ebner, Andre ^{[1
]}

机构：

[1] Univ Munich, Munich Grad Sch Econ, D-80539 Munich, Germany

来源：

EMERGING MARKETS REVIEW | 2009年 / 10卷 / 02期

关键词：

Government bond spreads; Central and Eastern Europe; Fundamental data;

D O I：

10.1016/j.ememar.2009.02.001

中图分类号：

F8 [财政、金融];

学科分类号：

0202 ;

摘要：

This paper studies the spread between 10 year Euro denominated Central and Eastern European (CEE) government bonds and their German counterpart. With newly available time series, regressions are run for each country separately in order to deliver a first insight into the underlying determinants. While higher ECB reference rate and market volatility increase bond spreads and turn out to be the main driving factors, there is no common pattern of macroeconomic fundamentals, pointing to strong heterogeneity within the CEE region. Overall, market variables are more significant than fundamentals during 1999 to 2007. (C) 2009 Elsevier B.V. All rights reserved.

引用

页码：97 / 121

页数：25

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