| 来源类型 | Discussion paper |
| 规范类型 | 论文 |
| 来源ID | DP8637 |
| DP8637 Sovereign spreads in the Euro area: Which prospects for a Eurobond? | |
| Alessandro Missale; Carlo A. Favero | |
| 发表日期 | 2011-11-01 |
| 出版年 | 2011 |
| 语种 | 英语 |
| 摘要 | In this paper, we provide new evidence on the determinants of sovereign yield spreads and contagion effects in the euro area in order to evaluate the rationale for a common Eurobond jointly guaranteed by euro-area Member States. We find that default risk is the main driver of yield spreads, suggesting small gains from greater liquidity. Fiscal fundamentals matter in the pricing of default risk but only as they interact with other countries? yield spreads; i.e. with the global risk that the market perceives. More important, the impact of this global risk variable is not constant over time, a clear sign of contagion driven by shifts in market sentiment. This evidence points to a discontinuity in the disciplinary role of financial markets. If markets can stay irrational longer than a country can stay solvent, then the role of yield spreads on national bonds as a fiscal discipline device is considerably weakened, and issuing Eurobonds can be economically justified. |
| 主题 | Financial Economics |
| 关键词 | Eurobonds Contagion Sovereign debt crisis |
| URL | https://cepr.org/publications/dp8637 |
| 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/537474 |
| 推荐引用方式 GB/T 7714 | Alessandro Missale,Carlo A. Favero. DP8637 Sovereign spreads in the Euro area: Which prospects for a Eurobond?. 2011. |
| 条目包含的文件 | 条目无相关文件。 | |||||
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