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| rdf:type
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| Description
| - The aim of the paper is to examine the main drivers for sovereign risk spread in the European Union member states in a period 1990-2011. The empirical estimation is performed for 24 EU member states; Germany, Luxembourg, Estonia as well as Croatia were excluded. We performed estimation on three different panels (EU24, EURO, non EURO) with the goal to find differences between euro and non-euro countries We used next variables for testing the impact on sovereign bond spread: German Bunds' interest, budget balance to GDP, debt to GDP, GDP growth, openness, terms of trade growth, inflation and the fiscal rules index. Correlation analysis identified the strong correlation between sovereign yield spread and budget balance. This is the common trend for all panels. Likewise, fiscal rules index is strong correlated with spread and it is more noticeable in EURO panel. The improvement of fiscal discipline reduces sovereign yield spreads. The biggest difference between panels was found for the de bt and German interest rate. These variables are strong correlated only in EURO countries. Surprisingly, there is no correlation in nonEURO and EURO24 panels. In short-term, we investigated also relationship between spread and fiscal discipline variables using Granger causality methodology. Results confirm differences between panels and there is no common pattern of sovereign yield spread determinants in the EU; it is pointing to strong heterogeneity within the EURO and nonEURO countries
- The aim of the paper is to examine the main drivers for sovereign risk spread in the European Union member states in a period 1990-2011. The empirical estimation is performed for 24 EU member states; Germany, Luxembourg, Estonia as well as Croatia were excluded. We performed estimation on three different panels (EU24, EURO, non EURO) with the goal to find differences between euro and non-euro countries We used next variables for testing the impact on sovereign bond spread: German Bunds' interest, budget balance to GDP, debt to GDP, GDP growth, openness, terms of trade growth, inflation and the fiscal rules index. Correlation analysis identified the strong correlation between sovereign yield spread and budget balance. This is the common trend for all panels. Likewise, fiscal rules index is strong correlated with spread and it is more noticeable in EURO panel. The improvement of fiscal discipline reduces sovereign yield spreads. The biggest difference between panels was found for the de bt and German interest rate. These variables are strong correlated only in EURO countries. Surprisingly, there is no correlation in nonEURO and EURO24 panels. In short-term, we investigated also relationship between spread and fiscal discipline variables using Granger causality methodology. Results confirm differences between panels and there is no common pattern of sovereign yield spread determinants in the EU; it is pointing to strong heterogeneity within the EURO and nonEURO countries (en)
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| Title
| - Differences in main drivers for sovereign risk spread in euro and non-euro countries.
- Differences in main drivers for sovereign risk spread in euro and non-euro countries. (en)
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| skos:prefLabel
| - Differences in main drivers for sovereign risk spread in euro and non-euro countries.
- Differences in main drivers for sovereign risk spread in euro and non-euro countries. (en)
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| skos:notation
| - RIV/47813059:19520/13:#0002190!RIV14-GA0-19520___
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| http://linked.open...avai/riv/aktivita
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| http://linked.open...avai/riv/aktivity
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| http://linked.open...vai/riv/dodaniDat
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| http://linked.open...aciTvurceVysledku
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| http://linked.open.../riv/druhVysledku
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| http://linked.open...iv/duvernostUdaju
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| http://linked.open...titaPredkladatele
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| http://linked.open...dnocenehoVysledku
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| http://linked.open...ai/riv/idVysledku
| - RIV/47813059:19520/13:#0002190
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| http://linked.open...riv/jazykVysledku
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| http://linked.open.../riv/klicovaSlova
| - debt; budget deficit; sovereign risk spreads; government bond yields; fiscal discipline (en)
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| http://linked.open.../riv/klicoveSlovo
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| http://linked.open...ontrolniKodProRIV
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| http://linked.open...v/mistoKonaniAkce
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| http://linked.open...i/riv/mistoVydani
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| http://linked.open...i/riv/nazevZdroje
| - Eurozone Future: From Crizis to Stabilization, reform and Growth?
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| http://linked.open...in/vavai/riv/obor
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| http://linked.open...ichTvurcuVysledku
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| http://linked.open...cetTvurcuVysledku
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| http://linked.open...vavai/riv/projekt
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| http://linked.open...UplatneniVysledku
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| http://linked.open...iv/tvurceVysledku
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| http://linked.open...vavai/riv/typAkce
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| http://linked.open.../riv/zahajeniAkce
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| number of pages
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| http://purl.org/ne...btex#hasPublisher
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| https://schema.org/isbn
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| http://localhost/t...ganizacniJednotka
| |
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