G2TT
来源类型Discussion paper
规范类型论文
来源IDDP4516
DP4516 Interest Rate Determination in the Interbank Market
Vitor Gaspar; Gabriel Pérez-Quirós; Hugo Rodriguez Mendizabal
发表日期2004-08-23
出版年2004
语种英语
摘要This Paper provides a study of bond yield differentials among EU eurobonds issued between 1991 and 2002. Interest differentials between bonds issued by EU countries and Germany or the USA contain risk premia which increase with the debt, deficit and debt-service ratio and depend positively on the issuer's relative bond market size. Global investors' attitude towards credit risk, measured as the yield spread between low grade US corporate bonds and government bonds, also affects bond yield spreads between EU countries and Germany/USA. The start of the European Monetary Union had significant effects on the bond pricing of the member states.
主题International Macroeconomics ; Public Economics
关键词Asset pricing Determination of interest rates Fiscal policy Government debt
URLhttps://cepr.org/publications/dp4516
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/533461
推荐引用方式
GB/T 7714
Vitor Gaspar,Gabriel Pérez-Quirós,Hugo Rodriguez Mendizabal. DP4516 Interest Rate Determination in the Interbank Market. 2004.
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