| 来源类型 | Working Paper |
| 规范类型 | 报告 |
| DOI | 10.3386/w15353 |
| 来源ID | Working Paper 15353 |
| Towards a Common European Monetary Union Risk Free Rate | |
| Sergio Mayordomo; Juan Ignacio Peña; Eduardo S. Schwartz | |
| 发表日期 | 2009-09-17 |
| 出版年 | 2009 |
| 语种 | 英语 |
| 摘要 | A common European bond would yield a common European Monetary Union risk free rate. We present tentative estimates of this common risk free for the European Monetary Union countries from 2004 to 2009 using variables motivated by a theoretical portfolio selection model. First, we analyze the determinants of EMU sovereign yield spreads and find significant effects of the credit quality, macro, correlation, and liquidity variables. However, their effects are different before and after the current financial crisis, being stronger in the latter period. Robustness tests with different data frequencies, benchmarks, liquidity variables, cross section regressions and balanced panels confirm the initial results. We propose four different estimates of the common risk free rate and show that, in most cases, this common rate could imply savings in borrowing costs for all the countries involved. |
| 主题 | Macroeconomics ; Money and Interest Rates ; Financial Economics ; Financial Markets |
| URL | https://www.nber.org/papers/w15353 |
| 来源智库 | National Bureau of Economic Research (United States) |
| 引用统计 | |
| 资源类型 | 智库出版物 |
| 条目标识符 | http://119.78.100.153/handle/2XGU8XDN/573028 |
| 推荐引用方式 GB/T 7714 | Sergio Mayordomo,Juan Ignacio Peña,Eduardo S. Schwartz. Towards a Common European Monetary Union Risk Free Rate. 2009. |
| 条目包含的文件 | ||||||
| 文件名称/大小 | 资源类型 | 版本类型 | 开放类型 | 使用许可 | ||
| w15353.pdf（458KB） | 智库出版物 | 限制开放 | CC BY-NC-SA | 浏览 | ||
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