کد مقاله کد نشریه سال انتشار مقاله انگلیسی نسخه تمام متن
965367 930802 2014 15 صفحه PDF دانلود رایگان
عنوان انگلیسی مقاله ISI
Fundamentally Wrong: Market Pricing of Sovereigns and the Greek Financial Crisis
ترجمه فارسی عنوان
اساسا اشتباه: قیمت گذاری بازار از سوئد و بحران مالی یونان
موضوعات مرتبط
علوم انسانی و اجتماعی اقتصاد، اقتصادسنجی و امور مالی اقتصاد و اقتصادسنجی
چکیده انگلیسی
We investigate the impact of the economic fundamentals, sovereign credit ratings, political uncertainty, and the ECB's Securities Markets Program (SMP) on Greek sovereign spreads. Our findings show that sovereign downgrades and political uncertainty appear to have been drivers of the sharp rises in Greek sovereign spreads from 2008-2009 onwards, over-and-above the impact of the economic fundamentals. Our findings also show that prior to 2008-2009, the markets failed to incorporate Greece's deteriorating fundamentals into the price of Greek sovereigns. We demonstrate that, once markets reassessed their pricing of Greek credit risk, the change in the influence of the fundamentals came swiftly and abruptly, exhibiting overshooting characteristics. The SMP reduced spreads while it was in operation.
ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Journal of Macroeconomics - Volume 39, Part B, March 2014, Pages 405-419
نویسندگان
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