Delatte, A-L, Fouquau, J and Portes, R
(2017)
Regime-Dependent Sovereign Risk Pricing During the Euro Crisis.
Review of Finance, 21 (1).
pp. 363-385.
ISSN 1572-3097
Abstract
Previous work has documented a greater sensitivity of long-term government bond yields to fundamentals in euro area peripheral countries during the euro crisis, but we know little about the driver(s) of regime switches. Our estimates based on a panel smooth threshold regression model quantify and explain them: (1) investors have penalized a deterioration of fundamentals more strongly from 2010 to 2012; (2) the higher the bank credit risk, measured with the premium on credit derivatives, the higher the extra premium on fundamentals; (3) after ECB President Draghi’s speech in July 2012, it took 1 year to restore the noncrisis regime and suppress the extra premium
More Details
| Item Type: | Article |
|---|---|
| Subject Areas: | Economics |
| Additional Information: |
© 2016 European Finance Association. This is a pre-copyedited, author-produced version of an article accepted for publication in Review of Finance following peer review. The version of record: Anne-Laure Delatte, Julien Fouquau, Richard Portes (2017) Regime-Dependent Sovereign Risk Pricing During the Euro Crisis, Review of Finance, Volume 21, Issue 1, March 2017, Pages 363–385 is available online at: https://academic.oup.com/rof/article/21/1/363/2670359 and at: https://doi.org/10.1093/rof/rfw050 |
| Funder Name: | Seventh Framework Programme |
| Date Deposited: | 29 Nov 2016 10:17 |
| Date of first compliant deposit: | 29 Nov 2016 |
| Subjects: |
Crises Government bonds Euro |
| Last Modified: | 08 Nov 2024 01:44 |
| URI: | https://lbsresearch.london.edu/id/eprint/738 |
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