Fiscal variables and bond spreads – evidence from Eastern European countries and Turkey

Abstract

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Determinants of Sovereign Bond Spreads in Emerging Markets: Local Fundamentals and Global Factors vs. Ever-Changing Misalignments

“…Using country regressions, Arora and Cerisola (2001) and Nickel et al (2009) find that while global factors are important drivers of spreads in almost every country, the significance of fundamentals differs across countries. Similarly, Ebner (2009) shows that the effect and importance of country-specific factors varies across countries and concludes that external risk aversion is "the single most important explanatory factor" of spreads.…”

Determinants of sovereign risk premia for European emerging markets

“…They did not model this effect explicitly, but concluded that it was the result of policy anchors brought by the EU accession process. Nickel et al (2009) focused their analysis on the impact of fi scal variables on bond spreads. They used forecasted values of macroeconomic variables to capture market expectations, and showed that the fi scal defi cit had a signifi cant infl uence on bond spreads.…”

Level, slope, curvature of the sovereign yield curve, and fiscal behaviour

“…Yet another part of this research has focused on the determinants -including the fiscal ones -of the long-term yield spreads between new European Union countries and other European states and benchmarks such as the US or the German bonds (see e.g. Nickel, Rother and Rülke, 2009;Alexopolou, Bunda and Ferrando, 2009 In addition, Ehrmann, Fratzscher, Gurkaynak and Swanson (forthcoming), used daily yields of maturities between two and ten years to study the convergence of the shape of the yield curves of Italy and Spain with those of France and Germany after the EMU, looking at the first (level) and second (slope) principal components of the yield curve. However, they have not considered the very short-end maturities and did not explicitly relate the behaviour of the yield curves to fiscal variables.…”