IDEAS home Printed from https://ideas.repec.org/a/kap/empiri/v43y2016i1p1-35.html
   My bibliography  Save this article

Macroeconomic variables and the sovereign risk premia in EMU, non-EMU EU, and developed countries

Author

Listed:
  • Arkady Gevorkyan
  • Willi Semmler

Abstract

This project studies and models key macroeconomic variables and their impact on sovereign risk premia across select European economies and developed countries. The sample is divided into three groups of countries: those in the European Monetary Union (EMU); the standalone economies outside the EMU but members of the broader European Union (EU); and other developed economies. The main subject of examination across all three groups is the impact of macroeconomic variables on sovereign borrowing costs. EU countries have experienced high financial stress and a rapid rise in the credit default swaps (CDS) spreads during the EMU debt crisis. A nonlinear vector smooth transition autoregressive model is applied to investigate such a regime change in the finance-output link using sovereign CDS and industrial production index. The paper finds that regime-switching takes place rather suddenly in most EMU countries. The study concludes that due to the potential spillover effects in the EU as a whole, the individual country macroeconomic indicators were less reflected in the financial stress and spillover and contagion effects became dominant. Copyright Springer Science+Business Media New York 2016

Suggested Citation

  • Arkady Gevorkyan & Willi Semmler, 2016. "Macroeconomic variables and the sovereign risk premia in EMU, non-EMU EU, and developed countries," Empirica, Springer;Austrian Institute for Economic Research;Austrian Economic Association, vol. 43(1), pages 1-35, February.
    • Handle: RePEc:kap:empiri:v:43:y:2016:i:1:p:1-35
    DOI: 10.1007/s10663-015-9286-2
    as

    Download full text from publisher

    File URL: http://hdl.handle.net/10.1007/s10663-015-9286-2
    Download Restriction: Access to full text is restricted to subscribers.
    File URL: https://libkey.io/10.1007/s10663-015-9286-2?utm_source=ideas
    LibKey link: if access is restricted and if your library uses this service, LibKey will redirect you to where you can use your library subscription to access this item
    ---><---

    As the access to this document is restricted, you may want to search for a different version of it.

    Citations

    Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
    as


    Cited by:

    1. Gül Huyugüzel Kışla & Y. Gülnur Muradoğlu & A. Özlem Önder, 2022. "Spillovers from one country’s sovereign debt to CDS (credit default swap) spreads of others during the European crisis: a spatial approach," Journal of Asset Management, Palgrave Macmillan, vol. 23(4), pages 277-296, July.
    2. Ferraresi Tommaso & Roventini Andrea & Semmler Willi, 2019. "Macroeconomic Regimes, Technological Shocks and Employment Dynamics," Journal of Economics and Statistics (Jahrbuecher fuer Nationaloekonomie und Statistik), De Gruyter, vol. 239(4), pages 599-625, August.
    3. Svetlana G. Vokina & Yulia S. Zima & Nikolai G. Sinyavsky & Vadim Meshkov & Aleksandra V. Sultanova, 2016. "Unification of Economic Systems in the Global Economy: Barriers and Preconditions," Contemporary Economics, University of Economics and Human Sciences in Warsaw., vol. 10(4), December.

    More about this item

    Keywords

    Debt crisis; Vector STAR; GARCH; Regime-switching; Euro area; Financial stress; E44; F34; G15;
    All these keywords.

    JEL classification:

    • E44 - Macroeconomics and Monetary Economics - - Money and Interest Rates - - - Financial Markets and the Macroeconomy
    • F34 - International Economics - - International Finance - - - International Lending and Debt Problems
    • G15 - Financial Economics - - General Financial Markets - - - International Financial Markets

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:kap:empiri:v:43:y:2016:i:1:p:1-35. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    We have no bibliographic references for this item. You can help adding them by using this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Sonal Shukla or Springer Nature Abstracting and Indexing (email available below). General contact details of provider: http://www.springer.com .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.