Κατεύθυνση Διαχείρισης Κεφαλαίων και Κινδύνων
Library of the Faculty of Economics and of the Faculty of Business Administration

2018-08-21

2018

Konidaris Dimitris

Kenourgios Dimitris , Ph.D., Associate Professor of Finance, National Kapodistrian University of Athens, School of Economics and Political Sciences, Departments of Economics, Division of Business Economics & Administration - Finance

Οι παράγοντες που καθορίζουν τα spreads των ευρωπαϊκών ομολόγων

Greek

The determinants of European bond spreads

In the present paper, we have made an effort to investigate which variables interpret the spreads of the European bond yields. The survey mainly concerned countries that played an important role in the course of the European debt crisis, both the core countries (Germany, France) that had an active role in monetary union policies, as well as countries in the 'periphery' (Greece, Italy , Spain, Portugal) who were mainly the recipients of the above policies. The period examined is from 01/2003 to 03/2018. This period is splitted into three separate periods (pre-crisis, crisis, post-crisis) to investigate how the same variables interpret the spreads movements to a different extent. From the results of the analysis, the most important result is the shift of the basic variable interpretation of the spread before and after the crisis. In all the countries examined, the most important factor in the course of pre-crisis spreads was the percentage change in GDP. After the outbreak of the debt crisis, where the imperfections of monetary union policies emerged, again in all countries, the most important variable was the debt to GDP ratio. After analyzing the basic variables, we tried to add a slightly different approach variable. The one variable that gave us interesting conclusions on the case of Greece was the introduction of google trend keywords like "Grexit" and "Greek debt". Another variable that we added and gave us interesting results is that of the Regulatory quality index, which in the period of the crisis the improvement of the index resulted in a decrease in spreads.

Social, Political and Economic sciences

bonds, spreads, determinants, european union, greece, effect

Yes

1

Yes

28

59

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https://pergamos.lib.uoa.gr/uoa/dl/object/2780620