Research Catalog

What Drives Sovereign Risk Premiums? An Analysis of Recent Evidence from the Euro Area

Title
What Drives Sovereign Risk Premiums? [electronic resource]: An Analysis of Recent Evidence from the Euro Area / David Haugh, Patrice Ollivaud and David Turner
Author
Haugh, David.
Publication
Paris : OECD Publishing, 2009.

Available Online

Full text online available onsite at NYPL

Details

Additional Authors
  • Ollivaud, Patrice.
  • Turner, David.
Description
25 p.; 21 x 29.7cm.
Summary
This paper analyses recent large movements in the yield spread for sovereign bonds as between Germany and other euro area countries. While the general increase in risk aversion that has characterised the financial crisis is an important factor on its own, it is found that this has also magnified the importance of fiscal performance, in particular as measured by the ratio of debt service to tax receipts and expected fiscal deficits. Moreover, there is evidence to suggest that such effects are non-linear, so that incremental deteriorations in fiscal performance lead to ever larger increases in the spread. These findings imply that financial market reaction could become an increasingly important constraint on fiscal policy for some countries, a feature which was much less apparent in the years prior to the financial crisis when general risk aversion was abnormally low.
Series Statement
OECD Economics Department Working Papers, 1815-1973 ; no.718
Uniform Title
OECD Economics Department Working Papers, no.718.
Subject
  • Economics
  • Euro Area
LCCN
10.1787/222675756166
OCLC
oecd-lib
Author
Haugh, David.
Title
What Drives Sovereign Risk Premiums? [electronic resource]: An Analysis of Recent Evidence from the Euro Area / David Haugh, Patrice Ollivaud and David Turner
Imprint
Paris : OECD Publishing, 2009.
Series
OECD Economics Department Working Papers, 1815-1973 ; no.718
OECD Economics Department Working Papers, 1815-1973 ; no.718.
Connect to:
Full text online available onsite at NYPL
Indexed Term
Economics
Euro Area
Added Author
Ollivaud, Patrice.
Turner, David.
Other Standard Identifier
10.1787/222675756166 doi
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