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Νικολίνα Κωστελέτου, Αναπληρώτρια Καθηγήτρια, Τμήμα Οικονομικών Επιστημών, ΕΚΠΑ
Summary:
This thesis’ purpose is to present the way that news, economic or not, affect the sovereign bond market. It is shown that not only surprises in scheduled announcements of economic indices, but also other unexpected events can put pressure on this specific market. Using the economic theory and empirical analyses, the news’ effect on the sovereign bonds will be examined. Perspectives that played a crucial role to our approach are those of Piazzesi (2001), Balduzzi, Elton & Green (1999), Campbell & Ammer (1993), Beetsma et al (2012) and Jiang, Konstandinidi & Skiadopoulos (2012). Through them, it is explained that news has a strong effect on the government bonds. This effect can be conceived with the use of the spread between the yield to maturity of a sovereign bond and another “risk-free” bond with the same maturity. Beyond the bond pricing factors’ analysis, our focus will be on the reaction of the Greek spread to news reports, both domestic and international, during the current debt-crisis that Greece experiences since the end of 2009. The spread-macroeconomic factors correlation is observed and at the same time we can see that the spread’s path is almost identical with that of the greek yield’s, despite the fact that many news reports are international, and not domestic.
Keywords:
bonds, news, interest rate, spread, pricing factors, debt crisis
