Regime-dependent sovereign risk pricing during the Euro Crisis

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To access the full text documents, please follow this link: http://hdl.handle.net/10230/27700

dc.contributor.author	Delatte, Anne-Laure
dc.contributor.author	Fouquau, Julien
dc.contributor.author	Portes, Richard
dc.date	2016-09
dc.identifier.uri	http://hdl.handle.net/10230/27700
dc.format	application/pdf
dc.language.iso	eng
dc.relation	ADEMU Working Paper Series;32
dc.relation	info:eu-repo/grantAgreement/EC/H2020/649396
dc.rights	This is an Open Access article distributed under the terms of the Creative Commons Attribution License Creative Commons Attribution 4.0 International, which permits unrestricted use, distribution and reproduction in any medium provided that the original work is properlyattributed.
dc.rights	info:eu-repo/semantics/openAccess
dc.rights	http://creativecommons.org/licenses/by/4.0/
dc.subject	European sovereign crisis
dc.subject	Panel Smooth Transition Regression Models
dc.subject	CDS indices
dc.title	Regime-dependent sovereign risk pricing during the Euro Crisis
dc.type	info:eu-repo/semantics/workingPaper
dc.description.abstract	Previous work has documented a greater sensitivity of long-term government bond yields to fundamentals in Euro area peripheral countries during the euro crisis, but we know little about the driver(s) of regime switches. Our estimates based on a panel smooth threshold regression model quantify and explain them: 1) investors have penalized a deterioration of fundamentals more strongly from 2010 to 2012; 2) the higher the bank credit risk, measured with the premium on credit derivatives, the higher the extra premium on fundamentals; 3) after ECB President Draghi’s speech in July 2012, it took one year to restore the non crisis regime and suppress the extra premium.
dc.description.abstract	The ADEMU Working Paper Series is being supported by the European Commission Horizon 2020 European Union funding for Research & Innovation, grant agreement No 649396.

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