Government Risk Premiums in the Bond Market: EMU and Canada

By Ludger Schuknecht, J. Hagen, Guido Wolswijk. 2008

194 citations recorded by the source corpus.

Subfields: Economics and Econometrics, Finance

View Paper: https://www.semanticscholar.org/paper/80fe2f0bbf4e42ab42e6a80b94bab4a673c64575

Citations in the corpus

• Sovereign Bond Market Reactions to Fiscal Rules and No-Bailout Clauses - The Swiss Experience (2013, unknown): “…the following econometric specification which is largely motivated by the literature on European bond spreads presented in subsection 2.1 (see, e.g., Schuknecht et al., 2009): Y ieldSpreadi,j,t = β0 + β1Debtj,t + β2Deficitj,t + β3Liquidityi,j,t + β4RiskAversiont + β5Durationi,j,t +…”
• What are the effects of fiscal policy on asset markets (2011, unknown): “Not surprisingly, the relationship between macroeconomic variables, wealth, and asset returns has revived the interest on the topic by academics (Schuknecht et al., 2009; Sousa, 2010b, 2010c).”
• Rules and risk in the Euro area (2014, unknown): “On the sub-national level, the price of public debt is con rmed to re ect scal fundamentals (Schuknecht et al., 2009; Heppke-Falk and Wol , 2008; Schulz and Wol , 2009).”
• The Determinants of Sovereign Bond Yield Spreads in the EMU (2012, unknown): “Bernoth and Wolff (2008) and Schuknecht et al. (2009) interpret this finding as evidence that the Stability and Growth Pact operated as credible mechanism enforcing fiscal discipline among EMU members.”
• FISCAL POLICY AND ASSET PRICES (2013, unknown): “sustainability of fiscal deficits (Hallett, 2008; Hallett and Lewis, 2008; Schuknecht et al., 2009), they are also embedded in the idea that fiscal policy might be an important tool towards asset markets’ stabilization.”
• Banking and Sovereign Risk in the Euro Area (2010, unknown): “19 For example, Schuknecht et al. (2009) find an effect of similar size.”
• Determinants of Government Bond Spreads in New EU Countries (2010, unknown): “For previous studies using this variable, see, for instance, Ferrucci (2003), Lonning (2000), and Schuknecht et al. (2008).”
• The EMU sovereign-debt crisis: Fundamentals, expectations and contagion (2012, unknown): “…Bernoth and Wolff (2008), Manganelli and Wolswijk (2009) and Schuknecht et al. (2009).3 These findings are interpreted by Bernoth and Wolff (2008) and Schuknecht et al. (2009) as evidence that the Stability and Growth Pact was a credible mechanism imposing fiscal discipline among EMU members.”
• A European mechanism for sovereign debt crisis resolution: a proposal. Bruegel Blueprint Series, 9 November 2010 (2010, unknown): “Sturzenegger and Zettelmeyer (2006) show that, among the member states of the euro area, Austria, Greece, Germany, Italy, Portugal and Spain have each experienced at least one case of sovereign default since 1824.”
• How does fiscal policy react to wealth composition and asset prices (2012, unknown): “[63] Schuknecht, L.”