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Determinants of sovereign risk premia for European emerging markets

Author

Listed:
  • Mirna Dumicic

    (Croatian National Bank, Zagreb)

  • Marko Primorac

    (Croatian National Bank, Zagreb)

Abstract

This paper analyses the determinants of the changes in sovereign bond spreads in emerging European markets before and during the recent global financial crisis. In particular, these determinants are associated with changes in market sentiment and in domestic macroeconomic fundamentals. The model was estimated on panel ata for eight central and eastern European countries between Q1:2000 and Q2:2010, using least squares and controlling for serial correlation. The results show that the dynamics of spreads can be explained by both market sentiment indicators and macroeconomic fundamentals. In particular, the external imbalances did not exert any discernible effect on spreads prior to the crisis, but became increasingly significant as the crisis broke out.

Suggested Citation

  • Mirna Dumicic & Marko Primorac, 2011. "Determinants of sovereign risk premia for European emerging markets," Financial Theory and Practice, Institute of Public Finance, vol. 35(3), pages 277-279.
    • Handle: RePEc:ipf:finteo:v:35:y:2011:i:3:p:277-299
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    Citations

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    Cited by:

    1. Belyakov, Igor (Беляков, Игорь), 2017. "On the Determinants of Sovereign Eurobond Spreads in Russia [О Факторах, Определяющих Спрэды Суверенных Еврооблигаций России]," Ekonomicheskaya Politika / Economic Policy, Russian Presidential Academy of National Economy and Public Administration, vol. 1, pages 200-225, February.
    2. Kliber, Agata & Płuciennik, Piotr, 2017. "Euro or not? Vulnerability of Czech and Slovak economies to regional and international turmoil," Economic Modelling, Elsevier, vol. 60(C), pages 313-323.
    3. Piotr Ciżkowicz & Grzegorz Parosa & Andrzej Rzońca, 2022. "Fiscal tensions and risk premium," Empirica, Springer;Austrian Institute for Economic Research;Austrian Economic Association, vol. 49(3), pages 833-896, August.
    4. Csontó, Balázs, 2014. "Emerging market sovereign bond spreads and shifts in global market sentiment," Emerging Markets Review, Elsevier, vol. 20(C), pages 58-74.
    5. Dr. Darlena Tartari & Dr. Albi Tola, 2019. "Does the IMF Program Implementation Matter for Sovereign Spreads? The Case of Selected European Emerging Markets," Working Papers 2019-01, Swiss National Bank.
    6. Christopher Findlay & Silvia Sorescu & Camilo Umana Dajud, 2016. "Markets are Smart! Structural Reforms and Country Risk," Working Papers 2016-23, CEPII research center.

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