Title: What drives spreads in the euro area government bond market?
Abstract: Spreads between euro area government bond yields are related to short-term interest rates, which are in turn related to market liquidity, to cyclical conditions, and to investors’ incentives to take risk. In theory, lower interest rates are associated with lower degrees of risk aversion and smaller government bond spreads. Empirically, the Eurosystem’s short-term interest rates are positively related to those spreads, which our econometric model finds to include significant and policy-relevant default risk and liquidity risk components. — Simone Manganelli and Guido Wolswijk
Publication Year: 2009
Publication Date: 2009-04-01
Language: en
Type: article
Indexed In: ['crossref']
Access and Citation
Cited By Count: 310
AI Researcher Chatbot
Get quick answers to your questions about the article from our AI researcher chatbot