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Analysis of Sovereign Yield Spreads Behavior: The French Bonds Case

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  • Vasilev, Aleksandar

Abstract

The introduction of the Euro has led to price level stability and fostered growth within the European Union. Consequently, since its launch as a store of value and unit of account, there has been a clear convergence between the yield of France’s sovereign debt and German benchmark. This paper tries to estimate the effect of certain macroeconomic fundamentals on the yield spread of French 10-year bonds, relative to the German Bund of the same maturity for the period January 1999-March 2003. It reaches the conclusion that staying in line with Maastricht criteria decreases the risk premium of external debt.

Suggested Citation

  • Vasilev, Aleksandar, 2015. "Analysis of Sovereign Yield Spreads Behavior: The French Bonds Case," EconStor Open Access Articles and Book Chapters, ZBW - Leibniz Information Centre for Economics, vol. 0(3).
    • Handle: RePEc:zbw:espost:125924
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    References listed on IDEAS

    as
    1. Beck, Roland, 2001. "Do country fundamentals explain emerging market bond spreads?," CFS Working Paper Series 2001/02, Center for Financial Studies (CFS).
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    3. Ivailo Izvorski, 1998. "Brady Bonds and Default Probabilities," IMF Working Papers 1998/016, International Monetary Fund.
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    5. Sy, Amadou N. R., 2002. "Emerging market bond spreads and sovereign credit ratings: reconciling market views with economic fundamentals," Emerging Markets Review, Elsevier, vol. 3(4), pages 380-408, December.
    6. Richard Cantor & Frank Packer, 1996. "Determinants and impact of sovereign credit ratings," Economic Policy Review, Federal Reserve Bank of New York, vol. 2(Oct), pages 37-53.
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    More about this item

    Keywords

    French bonds; yield spreads;

    JEL classification:

    • G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates
    • G15 - Financial Economics - - General Financial Markets - - - International Financial Markets

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