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Macroeconomic, financial and institutional determinants of Eurozone sovereign crisis - Evidence from daily data

Author

Listed:
  • Jean-yves Filbien

    (ESG UQAM)

  • Fabien Labondance

    (UNIVERSITE DE LA REUNION)

  • Yann Echinard

    (Université Pierre-Mendès-France de Grenoble)

Abstract

We empirically investigate the determinants of sovereign bond spreads in the euro area since the beginning of the crisis. We combine economic but also political uncertainty variables for three different groups of countries. We took into account an institutional shift in the spring 2010. Before the institutional shift, Greek bond yield spreads are explained by international factors more than by the market discipline. It appears that some institutional variables influenced the spreads. The ECB's communications relating to the sovereign bond crisis contribute to feeding it whereas meetings of the European Council contribute to lowering the spreads for the countries less affected by the crisis.

Suggested Citation

  • Jean-yves Filbien & Fabien Labondance & Yann Echinard, 2013. "Macroeconomic, financial and institutional determinants of Eurozone sovereign crisis - Evidence from daily data," Economics Bulletin, AccessEcon, vol. 33(2), pages 1170-1176.
    • Handle: RePEc:ebl:ecbull:eb-13-00098
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    File URL: http://www.accessecon.com/Pubs/EB/2013/Volume33/EB-13-V33-I2-P110.pdf
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    Citations

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    Cited by:

    1. Nicolas Huchet & Bénédicte Serbini, 2013. "Public finance, banking sector and sovereign bond risk premiums in the Eurozone," Post-Print hal-03124168, HAL.
    2. Anastasios Pappas & Ioannis Kostakis, 2020. "The Driving Factors of EMU Government Bond Yields: The Role of Debt, Liquidity and Fiscal Councils," IJFS, MDPI, vol. 8(3), pages 1-13, September.

    More about this item

    Keywords

    Sovereign Bond Crisis; Sovereign Bond Yield Spreads; Eurozone; Governance;
    All these keywords.

    JEL classification:

    • F3 - International Economics - - International Finance
    • G1 - Financial Economics - - General Financial Markets

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