haku: @freeterm Nordic countries / yhteensä: 34
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| Tekijä: | Lönning, I.M. |
| Otsikko: | Default premia on European government debt |
| Lehti: | Weltwirtschaftliches Archiv
2000 : HEFT 2, VOL. 136:2, p. 259-283 |
| Asiasana: | European Union Central banks Debt Stock markets Models Europe Scandinavia |
| Vapaa asiasana: | Nordic countries |
| Kieli: | eng |
| Tiivistelmä: | This paper addresses the question of the existence and size of a risk premium in the Eurobond market. Measured is the yield difference btw. German government bonds and bonds issued in Deutsche Mark by several European countries. The results are regressed against macroeconomic variables supposed to be determinants of the risk of default on government debt. This paper's yield differences are smaller than those found btw. U.S. states. However, some of our macroeconomic variables seem to be good predictors of yield differentials. A conclusion is that yield differentials partially are related to risks perceived by market participants. The analysis also includes Scandinavian countries. |
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