کد مقاله | کد نشریه | سال انتشار | مقاله انگلیسی | نسخه تمام متن |
---|---|---|---|---|
5067997 | 1476893 | 2014 | 6 صفحه PDF | دانلود رایگان |
- We examine the European debt crisis focusing on Spain.
- The paper examines government bond yields in Germany and Spain.
- There is clear evidence for structural change.
- This could be a sign for increased sovereign credit risk.
This paper presents empirical evidence indicating that German and Spanish government bond yields are cointegrated. Thus, a stable long-term equilibrium relationship among these two variables seems to exist. However, there is also empirical evidence for the existence of a structural break in early 2009. Following Basse, Friedrich and v. d. Schulenburg (2011) we interpret this finding as an indication that financial markets started to see a higher sovereign credit risk in Spain. The structural break may even signal some fears about the return of exchange rate risk. Given that the break date is quite early; our empirical findings could be an indication that bond markets are at least partially efficient.
Journal: European Journal of Political Economy - Volume 34, Supplement, June 2014, Pages S3-S8