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Fiscal Sustainability, Default Risk and Euro Area Sovereign Bond Spreads Markets · Study

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PreprintFiscal Sustainability, Default Risk and Euro Area Sovereign Bond Spreads Markets

Vladimir Borgy2011

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Preprintgreen2011

Fiscal Sustainability, Default Risk and Euro Area Sovereign Bond Spreads Markets

Vladimir Borgy · Thomas Laubach · Jean‐Stéphane Mésonnier · Jean‐Paul Renne

29 citations·0/0 files stored·SSRN Electronic Journal

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Credit Risk and Financial Regulations Stochastic processes and financial applications European Monetary and Fiscal Policies

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References

1987Parsimonious Modeling of Yield Curves 1999Modeling Term Structures of Defaultable Bonds 2003A no-arbitrage vector autoregression of term structure dynamics with macroeconomic and latent variables 2002Term Premia and Interest Rate Forecasts in Affine Models 2007The U.S. Treasury yield curve: 1961 to the present 1987The Role of Conditioning Information in Deducing Testable Restrictions Implied by Dynamic Asset Pricing Models 2008Flight-to-Quality or Flight-to-Liquidity? Evidence from the Euro-Area Bond Market 2009New Evidence on the Interest Rate Effects of Budget Deficits and Debt

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2016A model of the euro-area yield curve with discrete policy rates

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2011Fiscal Sustainability, Default Risk and Euro Area Sovereign Bond Spreadspreprint · 22 shared references 2012Level, slope, curvature of the sovereign yield curve, and fiscal behaviourarticle · 11 shared references 2013Decomposing Euro-Area Sovereign Spreads: Credit and Liquidity Risksarticle · 9 shared references 2014A macro-financial analysis of the euro area sovereign bond marketarticle · 9 shared references 2013Modelling and forecasting government bond spreads in the euro area: A GVAR modelarticle · 8 shared references 2012The Determinants of Sovereign Bond Yield Spreads in the EMUpreprint · 8 shared references

Details

Year2011

Typepreprint

Published2011-01-01

VenueSSRN Electronic Journal

ISSN-L1556-5068

Languageen

Citations29

Files0 public / 0

ShelfCredit Risk and Financial Regulations

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doi10.2139/ssrn.1955936

openalex_workW1529802371

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