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| Tekijä: | Gomez-Puig, M. |
| Otsikko: | Systemic and idiosyncratic risk in EU-15 sovereign yield spreads after seven years of monetary union |
| Lehti: | European Financial Management
2009 : NOV, VOL. 15:5, p. 971-1000 |
| Asiasana: | European Union European Monetary System monetary policy stock exchanges bond markets securities interest rates budgetary control risk Germany |
| Vapaa asiasana: | EMU EMS models |
| Kieli: | eng |
| Tiivistelmä: | The market capitalization of international bond markets is much larger than that of international equity markets. This paper examines the relative influence of systemic (henceforth as: s-r.) and idiosyncratic risk (as: i-r.) factors on yield spreads (here as: y-sprs.) over 10-year German government securities during the seven years after the beginning (as: after 7-yrs.) of Monetary Integration (here as: MI.). Estimated are both panel regressions for the two groups of EU-15 countries (EMU and non-EMU) and specific-country regressions for the nine countries in the EMU group and the three countries in the non-EMU group. All estimations include both domestic and international risk factors. There is found clear evidence that it was mostly i-r. rather than s-r. factors driving the evolution of 10-year y-sprs. differentials over Germany in all EMU countries during the after 7-yrs. of MI. Conversely, in the case of non-EMU countries, adjusted y-sprs. are influenced more by s-r. factors etc. |
SCIMA