Regime-Dependent Sovereign Risk Pricing During the Euro Crisis

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 OPEN ACCESS


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

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Item Type: Article
Subject Areas: Economics
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© 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: and at:

Funder Name: Seventh Framework Programme
Date Deposited: 29 Nov 2016 10:17
Date of first compliant deposit: 29 Nov 2016
Subjects: Crises
Government bonds
Last Modified: 26 Mar 2024 01:42

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