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| Author: | Geyer, A. Kossmeier, S. Pichler, S. |
| Title: | Measuring Systematic risk in EMU government yield spreads |
| Journal: | Review of finance
2004 : VOL. 8:2, p. 171-197 |
| Index terms: | Bond yields Finance Risk management |
| Language: | eng |
| Abstract: | This article examines the joint dynamics of yield spreads derived from government bond issues by member states of the European Monetary Union (EMU). Analysis shows that there are significant and volatile spreads between zero coupon yields of EMU member countries and German Bund yields. These spreads form additional risk which must be taken into account by any pricing or risk management model dealing with EMU bonds. |
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