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Influence of sovreign debt on interest rate spread in the Euro area

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  • Andre Dramais

Abstract

The Euro area recent evolution have seen the appearance of large interest rate spread in highly indebted countries. What are the determinants of these spreads beyond mere speculation? Panel regressions linking for Euro area Members the spread with respect to German rates to fiscal variables like debt ratio, debt service ratio, expected future deficits, public pension liabilities, liquidity issues The first results show that debt service ratios and expecteds deficits are most importyant variables and that some non linear effects are in evidence

Suggested Citation

  • Andre Dramais, 2012. "Influence of sovreign debt on interest rate spread in the Euro area," EcoMod2012 3711, EcoMod.
    • Handle: RePEc:ekd:002672:3711
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