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| Author: | Favero, C. A. Giavazzi, F. Spaventa, L. |
| Title: | High yields: The spread on German interest rates |
| Journal: | Economic Journal
1997 : JUL, VOL. 106:443, p. 956-985 |
| Index terms: | GOVERNMENT BONDS INTEREST RATES GERMANY |
| Language: | eng |
| Abstract: | This paper evaluates the determinants of the interest rate differentials on government bonds between high yielders. In particular it concentrates on daily frequencies, where the relevance of economic fundamentals is rather limited, and addresses the question of the relative importance of local and global factors in the determination of such spread. Three components of total yield differentials are identified and measured. One due to expectations of exchange rate depreciation, which is called the exchange rate factor, another which reflects the market assessment of default risk and one due to the different taxation treatment of long-term yields. |
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