EU-15 SOVEREIGN GOVERNMENTS COST OF BORROWING AFTER SEVEN YEARS OF MONETARY UNION

No 200711, IREA Working Papers from University of Barcelona, Research Institute of Applied Economics

Abstract: Yield spreads over 10-year German government securities of the EU-15 countries converged dramatically in the seven years after the beginning of Monetary Integration. In this paper, we investigate the relative influence of systemic and idiosyncratic risk factors on their behaviour. Our conclusions suggest that in EMU-countries the relative importance of domestic risk factors (both credit and liquidity risk factors) is higher than that of international factors, which appear to play a secondary but significant role in non-EMU countries.

Keywords: Monetary integration; sovereign securities markets; systemic; idiosyncratic risk. (search for similar items in EconPapers)
JEL-codes: E44 F36 G15 (search for similar items in EconPapers)
Pages: 32 pages
Date: 2007-05, Revised 2007-05
New Economics Papers: this item is included in nep-eec, nep-mac and nep-mon
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Related works:
Working Paper: EU-15 sovereign governments' cost of borrowing after seven years of Monetary Union (2007)
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Persistent link: https://EconPapers.repec.org/RePEc:ira:wpaper:200711

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