High Yields
The Spread on German Interest Rates
Bibliographic Data
| ID | 9716656 |
|---|---|
| Authors | Carlo A Favero (0000-0002-1668-9426, Università Bocconi and CEPR), Francesco Giavazzi (Università Bocconi NBER and CEPR), Luigi Spaventa (Università degli Studi di Roma ‘La Sapienza’ and CEPR) |
| Year | 1997 |
| Volume | 107 |
| Issue | 443 |
| Pages | 956-985 |
| Publication date | 1997-07-01 |
| Peer Reviewed | Yes |
| Open Access | Yes |
| Type | ARTICLE |
| Venue | The Economic Journal (JOURNAL) |
| Journal identifiers | ISSN: 0013-0133 • E-ISSN: 1468-0297 |
| Publisher | Oxford University Press (OUP) (PUBLISHER) |
| DOI | 10.1111/j.1468-0297.1997.tb00002.x |
| OpenAlex | W2078094320 |
| Language | EN |
| Citations received | 6 |
| References cited | 6 |
This paper is a first attempt at evaluating the determinants of the interest rate differentials on government bonds between high yielders, namely Italy, Spain and Sweden, and Germany. In particular we concentrate on daily frequencies, where the relevance of economic fundamentals is rather limited, and address the question of the relative importance of local and global factors in the determination of such spread. We identify and measure three components of total yield differentials: one due to expectations of exchange rate depreciation – which we call the exchange rate factor – another which reflects the market assessment of default risk and a last one due to the different taxation treatment of long‐term yields
Bond · Depreciation (economics · Econometrics · Economics · Exchange rate · Financial economics · Geography · German · Government bond · Interest rate · Microeconomics · Monetary economics · Relevance (law · Yield (engineering · Credit Risk and Financial Regulations · Finance · German Economic Analysis & Policies · Monetary Policy and Economic Impact
Fiscal Governance in Europe
The design of fiscal rules and forms of governance in European Union countries
The stability of government bond markets’ equilibrium and the interdependence of lending rates
Subnational Bond Market Development
Pricing currency risk under currency boards
Fiscal institutions, fiscal policy and sovereign risk premia in EMU
| Unique citing works | 6 |
|---|---|
| Citations per year | 0,25 |
| Citation span | 2002 - 2024 (23) |
| Citation velocity | recent |
| Highly cited | No |
| Citation types | Neutral: 6 |