An Empirical analysis on the determinants of CEE government bond spreads
Collection:
Mokslo publikacijos / Scientific publications
Document Type:
Žurnalų straipsniai / Journal articles
Language:
Anglų kalba / English
Title:
An Empirical analysis on the determinants of CEE government bond spreads
Authors:
In the Journal:
Emerging markets review, 2009, 10, 97-121
Subject Category:
Summary / Abstract:
ENThis paper studies the spread between 10 year Euro denominated Central and Eastern European (CEE) government bonds and their German counterpart. With newly available time series, regressions are run for each country separately in order to deliver a first insight into the underlying determinants. While higher ECB reference rate and market volatility increase bond spreads and turn out to be the main driving factors, there is no common pattern of macroeconomic fundamentals, pointing to strong heterogeneity within the CEE region. Overall, market variables are more significant than fundamentals during 1999 to 2007.
DOI:
10.1016/j.ememar.2009.02.001
ISSN:
1566-0141
Subject:
Related Publications:
European Union enlargement and equity markets in accession countries. Emerging markets review 2006, 7, 129-146.
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https://www.lituanistika.lt/content/89003
Updated:
2026-02-25 13:40:21
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