Government Bond Risk Premiums in the EU Revisited: The Impact of the Financial Crisis

By Ludger Schuknecht, J. Hagen, Guido Wolswijk. Social Science Research Network, 2010

272 citations recorded by the source corpus.

Subfields: Finance

View Paper: https://www.semanticscholar.org/paper/c12be54241a49c025bfdff3dcb1c859b8ea65685

Citations in the corpus

• Mispricing of Sovereign Risk and Macroeconomic Stability in the Eurozone (2012, unknown): “…has developed analyzing the determinants of the spreads in the eurozone (Attinasi et al., 2009; Arghyrou and Kontonikas, 2010; Gerlach et al., 2010; Schuknecht et al., 2011; Caceres et al., 2010; Caporale and Girardi, 2011; Gibson et al., 2011).1 One of the novel features of this article is to…”
• Mispricing of Sovereign Risk and Multiple Equilibria in the Eurozone. CEPS Working Document No. 361, January 2012 (2012, unknown): “Similar results are obtained by Schuknecht et al. (2010), Arghyrou and Kontonikas(2010), Borgy, et al., (2011), Gibson, et al. (2011).”
• Walking Hand in Hand: Fiscal Policy and Growth in Advanced Economies (2012, unknown): “Schuknecht et al. (2010) also find that markets penalize fiscal imbalances much more strongly after the Lehman default in 2008.”
• Sovereign Spreads: Global Risk Aversion, Contagion or Fundamentals? (2010, unknown): “The detailed formulation of CIMDO is presented in Segoviano (2006). CIMDO is based on the Kullback (1959) minimum cross-entropy approach (MXED).”
• Sovereign Bond Market Reactions to Fiscal Rules and No-Bailout Clauses - The Swiss Experience (2013, unknown): “The methodological standards for the analysis of sovereign bond spreads are mainly set by several studies investigating the yield differentials of European bonds in the aftermath of the monetary union (see, e.g., Codogno et al., 2003; Manganelli and Wolswijk, 2009; von Hagen et al., 2011).”
• Long-Run and Short-Run Determinants of Sovereign Bond Yields in Advanced Economies (2012, unknown): “11 A separate stream of literature, not reviewed here due to space constraints, provides strong evidence that the response of sovereign bond spreads to changes in macroeconomic and fiscal determinants has substantially weakened in advanced euro area countries following the introduction of the euro i”