Determinants of sovereign yield spreads in the Eurozone: A Bayesian approach

Maltritz, Dominik

doi:10.1016/j.jimonfin.2011.10.010

Cited by 112 publications

(71 citation statements)

References 40 publications

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“…Average models (Maltritz, 2012), Time Varying Coefficient approach (Bernoth & Erdogan, 2012), Panel Cointegration models (Bernoth & Erdogan, 2012, Costantini et al, 2014 and the Fixed Effects estimator (De Haan et al, 2014) have all been used to examine government bond yields.…”

Section: A Fundamental Drivers Of Government Bond Yieldsmentioning

confidence: 99%

“…Fiscal and trade-related variables, such as the debt-to-GDP ratio and current account ratio, appear to be important drivers in many studies (Afonso & Rault;, Bernoth & Erdogan, 2012Costantini et al, 2014;Georgoutsos and Migiakis, 2013;Maltritz, 2012;Poghosyan, 2014;Rivero and Morales-Zumaquero, 2015). Macroeconomic variables such as the real GDP growth and inflation are also significant fundamental drivers (Afonso and Rault, 2015;Poghosyan, 2014;Costantini et al 2014).…”

Section: A Fundamental Drivers Of Government Bond Yieldsmentioning

confidence: 99%

“…Interest rates are now very low, inter alia because real growth has declined relative to historic rates. The current account ratio is related to a country's ability or inability to borrow abroad and therefore reflects investors' perception of default risk (Maltritz, 2012;De Grauwe and Ji, 2013). Current account deficits and net capital imports may be an indication of increased default risk and relate to lower government bond prices and higher yields.…”

Section: A Datamentioning

confidence: 99%

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Quantitative Easing and Exuberance in Government Bond Markets: Evidence from the ECB's Expanded Asset Purchase Program

2017

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SUMMARY -This paper examines whether the ECB's Quantitative Easing (QE) policy is causing government bond prices to deviate from their fundamental value.We use a recent advance in the methodology to measure exuberant price behavior in financial time series introduced by Phillips et al. (2015). We extend this methodology and apply it to government bond prices. The results show that the QE policy substantially inflated government bond prices in Euro Area countries to such an extent that bond prices are no longer in line with the underlying fundamental value. We argue that careful monitoring is required when the QE policy is eventually reversed. The test procedure outlined in this paper provides a monitoring tool to do so.JEL-code -G12; G15; E52

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Section: A Fundamental Drivers Of Government Bond Yieldsmentioning

confidence: 99%

Section: A Fundamental Drivers Of Government Bond Yieldsmentioning

confidence: 99%

Section: A Datamentioning

confidence: 99%

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Quantitative Easing and Exuberance in Government Bond Markets: Evidence from the ECB's Expanded Asset Purchase Program

2017

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“…Analizlerde dünyadaki faiz oranı, likidite ve genel risk algısı gibi global faktörleri kontrol etmek için literatürdeki diğer çalışmalarda da yararlanılmış olan dört tane değişken kullanılmıştır (Hilscher ve Nosbusch, 2010;Bellas vd., 2010;Maltritz, 2012;Wang ve Yao, 2014 Tabloda "CDS" ülke kredi temerrüt takası primi baz puanını, "TEM" beş yıl vadeli BBB dereceli Amerikan şirket tahvillerinin faiz oranı ile AAA dereceli Amerikan şirket tahvillerinin faiz oranları arasındaki farkı, "LP" Amerika'daki üç ay vadeli bankalar arası faiz oranı ile üç ay vadeli Amerikan hazine bonosu faiz oranı arasındaki farkı, "VIX" VIX endeksini, "T10" 10 yıl vadeli Amerikan devlet tahvili faiz oranını, ve "YUN" Yunanistan ülke kredi temerrüt takası primi ile Alman ülke kredi temerrüt takası primi arasındaki farkı temsil etmektedir. JarqueBera istatitiği değişkenlerin normal bir dağılıma sahip olup olmadıklarını test etmektedir.…”

Section: Veri Ve Analizunclassified

Avrupa Borç Krizi Döneminde Global Risk Faktörleri ve Ülke Kredi Temerrüt Takası Primi İlişkisi: 19 Ülke Örneği

Aydın¹,

Yuksel²

2017

Akdeniz Üniversitesi İktisadi Ve İdari Bilimler Fakültesi Dergisi

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ÖzetBu makale 19 ülke için Avrupa borç krizi döneminde ülke kredi temerrüt takası primindeki değişimi ve volatiliteyi etkileyen global risk faktörlerini incelemektedir. Çalışmada, literatürde kullanılmış olan global ekonomik durum, likidite, risk algısı ve Yunanistan borç krizinin etkisini temsil eden faktörleri içeren bir Eşik Değerli GARCH modeli kullanılmıştır. Analiz sonuçları, incelenen ülkelerin tamamına yakınında, Yunanistan borç krizinin seyrinin ülke kredi temerrüt takası primi ile ilişkili olduğunu göstermektedir. İncelenen ülkelerin çoğunda, global risk algısını temsil eden VIX endeksi ile ülke kredi temerrüt takası primindeki değişim arasında pozitif ilişki bulunmaktadır. Aynı faktörlerin birçok ülke için kredi temerrüt takası priminin volatilitesi ile de ilişkili olduğu gözlemlenmiştir. Anahtar Kelimeler: Ülke Kredi Temerrüt Takası, Global Risk Faktörleri, Avrupa Borç Krizi, Eşik Değerli GARCH(p,q) Modeli, VIX Endeksi Jel Kodu: G15,G10 AbstractThis paper uses sovereign credit default swap (CDS) data on 19 countries to examine how global risk factors affect both the change and the volatility of CDS spreads during the European sovereign debt crisis period. In the analysis, a set of variables identified by prior research are used in a Threshold GARCH setting. The findings indicate that, for majority of countries, both the extent of Greek sovereign debt crisis and global risk aversion have significant effect on the change of sovereign CDS spreads. Both factors are also significantly related to the volatility of sovereign CDS spreads for a number of countries.

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“…The results are robust to controlling for country fixed effects and different estimation methodologies. Maltriz (2012), embark upon the subject-matter with Bayesian Model Averaging (BMA). In his study the author applies BMA " [t]o identify the best models and assess the quality of potential regressors."…”

Section: Nietzsche: Human All Too Human: a Book For Free Spiritsmentioning

confidence: 99%

Excessive Debt or Excess Savings -- Transition Countries Sovereign Bond Spread Assessment

Petkov¹

2017

IBR

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We study the sovereign yield spreads determinants in transition -Central and Eastern Europe (CEE) and Caucasus and Central Asia (CCA) --countries and try to provide an answer to the key question: was the narrowing of the spreads and their compression a result of improvement of CEECCA countries sovereign"s macroeconomic policy (implemented in early to mid 2000s), or was it due to global excess liquidity provision? If better domestic macroeconomic policy efforts and solid reforms implemented in this period have led to: i) improvement in sovereign debt management e.g., by increasing the average debt portfolio duration and reducing the stock of FOREX debt; ii) development of domestic financial markets with enlargement of the investor"s base and enhancement of the risk management techniques; iii) continuing financial liberalization; iv) sustainable fiscal adjustment, reserve accumulation and price stability; and v) adoption of the most conductive to prosperity institutional structure, then it would be expected that any tighter monetary policy environment in the developed economies should have only a tiny effect on spreads.The models are estimated on an individual basis --country by country --using a framework allowing for fractionally integrated variables (ARDL) as well as, by utilising panel data (cross-sectional-time-series) estimation whenever data availability allows.We utilise daily data over the period 2006-2012 and quarterly data over the period 2002-2011. These are the periods for which meaningful comparable data are available for Bulgaria, Croatia, Hungary, Kazakhstan, Poland, Russia, Serbia, and Ukraine (in various combinations).We are careful not to attempt to split the sample into (say two) potential segments for comparison of "normal" versus "crises" period estimates (as customary) as since 2002 / 2003 the transition economies have started to experience the powerful financial effect generated by the excess global liquidity, i.e., the entire period under consideration is constituted by two phases characterised by: i) excess liquidity (2002)(2003)(2004)(2005)(2006)(2007)(2008); and, ii) the Great Depression Mark II (2008 -to present).

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Determinants of sovereign yield spreads in the Eurozone: A Bayesian approach

Cited by 112 publications

References 40 publications

Quantitative Easing and Exuberance in Government Bond Markets: Evidence from the ECB's Expanded Asset Purchase Program

Quantitative Easing and Exuberance in Government Bond Markets: Evidence from the ECB's Expanded Asset Purchase Program

Avrupa Borç Krizi Döneminde Global Risk Faktörleri ve Ülke Kredi Temerrüt Takası Primi İlişkisi: 19 Ülke Örneği

Excessive Debt or Excess Savings -- Transition Countries Sovereign Bond Spread Assessment

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