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The significance of country-specific and common risk factors for CEE government bond spreads changes
Ekonomika
View Archive Info| Field | Value | |
| Title |
The significance of country-specific and common risk factors for CEE government bond spreads changes
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| Creator |
Juodžiukynienė, Greta
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| Subject |
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Sovereign bond spreads; Central and Eastern Europe; Pooled mean group — |
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| Description |
This paper provides an empirical assessment of the relationship between common European Union and country-specific risk factors of sovereign bond spreads for Central and Eastern European countries over the period of 2004-2014. The model, estimated using Pooled Mean Group techniques, that accounts for both common long-run determinants and cross-country heterogeneities in sovereign bond spreads, tends to suggest that country-specific and common factors are important in the long-run, but common European Union factors are the main determinants of bond spreads in the short-run, i.e., market volatility index series converges with changes of sovereign bond spreads and turns out to be the predominant factor in the short-run. Furthermore, countries with stronger fundamentals have a tendency for lower responsiveness to changes in global risk aversion.The decomposition of changes in spreads for the purpose to compare actual and estimated spreads specifies that during risk-on periods (when the increase of misalignment falls down) there is consistency for increasing of creditworthiness undervaluation.
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| Publisher |
Vilniaus universiteto Ekonomikos fakultetas / Vilnius University Faculty of Economics
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| Contributor |
—
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| Date |
2016-04-12
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| Type |
info:eu-repo/semantics/article
info:eu-repo/semantics/publishedVersion Peer-reviewed Article |
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| Format |
application/pdf
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| Identifier |
http://www.zurnalai.vu.lt/ekonomika/article/view/9908
10.15388/Ekon.2016.1.9908 |
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| Source |
Ekonomika; Ekonomika 2016 95(1); 84-111
1392-1258 1392-1258 |
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| Language |
lit
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| Relation |
http://www.zurnalai.vu.lt/ekonomika/article/view/9908/7748
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| Rights |
Autorinės teisės (c) 2016 Ekonomika
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