Determinants of Government Bond Spreads in New EU Countries

Abstract

For the period 2001-8, we propose an empirical assessment of the determinants of borrowing costs of new European Union member countries. The results of a dynamic panel error-correction model, accounting for both common long-run determinants and cross-country heterogeneities suggest that fundamentals still matter for market assessment of a country's creditworthiness. We check the long-run determinants for two subgroups of countries based on their current account balances. In the context of heightened risk aversion, one group of countries, characterized by low fiscal discipline, is more exposed to domestic sources of vulnerability as well as to swings in market perceptions of sovereign risk.

Cite this work

No public copy is stored for this record, so only the metadata is cited.

Stored only when both papers are in the corpus — 70 citations exist upstream.

Papers that cite the same references — the relational fallback while embeddings are still backfilling.