| 来源类型 | Discussion paper
|
| 规范类型 | 论文
|
| 来源ID | DP1314
|
| DP1314 Hiring Risk and Labour Market Equilibrium |
| Gylfi Zoega; Mike Orszag
|
| 发表日期 | 1996-01-31
|
| 出版年 | 1996
|
| 语种 | 英语
|
| 摘要 | This paper is a first attempt at evaluating the determinants of the total interest rate differentials on government bonds between high yielders, namely Spain, Italy, Sweden, and Germany. In particular, we address the question of the relative importance of local and global factors in the determination of such spreads. We identify and measure two components of total yield differentials: one due to expectations of exchange rate depreciation, which we call the exchange rate factor; and another which reflects the market assessment of default risk. We propose and discuss a measure of the exchange rate factors and of the default risk premium based on interest rates swaps. Overall our investigation provides strong evidence in favour of the existence of a common trend for the Spanish and Italian spreads on Bunds, which is not shared by the Swedish spread. Such trend is driven by international factors and is independent from country-specific shocks. Country-specific shocks are only relevant in explaining short-term cycles around the common stochastic trend. |
| 主题 | International Macroeconomics
|
| 关键词 | Yield differentials
High yielders
|
| URL | https://cepr.org/publications/dp1314
|
| 来源智库 | Centre for Economic Policy Research (United Kingdom)
|
| 资源类型 | 智库出版物
|
| 条目标识符 | http://119.78.100.153/handle/2XGU8XDN/530455
|
推荐引用方式
GB/T 7714 |
Gylfi Zoega,Mike Orszag. DP1314 Hiring Risk and Labour Market Equilibrium. 1996.
|
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