Please use this identifier to cite or link to this item: http://buratest.brunel.ac.uk/handle/2438/9836
Full metadata record
DC FieldValueLanguage
dc.contributor.authorCostantini, M-
dc.contributor.authorFragetta, M-
dc.contributor.authorMelina, G-
dc.date.accessioned2015-01-20T11:26:33Z-
dc.date.available2014-
dc.date.available2015-01-20T11:26:33Z-
dc.date.issued2014-
dc.identifier.citationEuropean Economic Review, 70: 337–349, (August 2014)en_US
dc.identifier.issn0014-2921-
dc.identifier.urihttp://www.sciencedirect.com/science/article/pii/S0014292114000919-
dc.identifier.urihttp://bura.brunel.ac.uk/handle/2438/9836-
dc.description.abstractIn the light of the recent financial crisis, we take a panel cointegration approach that allows for structural breaks to the analysis of the determinants of sovereign bond yield spreads in nine economies of the European Monetary Union. We find evidence for a level break in the cointegrating relationship. Moreover, results show that (i) fiscal imbalances – namely expected government debt-to-GDP differentials – are the main long-run drivers of sovereign spreads; (ii) liquidity risks and cumulated inflation differentials have non-negligible weights; but (iii) all conclusions are ultimately connected to whether or not the sample of countries is composed of members of an Optimal Currency Area (OCA). In particular, we establish (i) that results are overall driven by those countries not passing the OCA test; and (ii) that investors closely monitor and severely punish the deterioration of expected debt positions of those economies exhibiting significant gaps in competitiveness.en_US
dc.format.extent337 - 349-
dc.format.extent337 - 349-
dc.language.isoenen_US
dc.publisherElsevieren_US
dc.subjectEuropean monetary unionen_US
dc.subjectSovereign bond yield spreadsen_US
dc.subjectOptimal currency areasen_US
dc.subjectCompetitiveness gapsen_US
dc.subjectEuro areaen_US
dc.titleDeterminants of sovereign bond yield spreads in the EMU: An optimal currency area perspective.en_US
dc.typeArticleen_US
dc.identifier.doihttp://dx.doi.org/doi:10.1016/j.euroecorev.2014.06.004-
dc.relation.isPartOfEuropean Economic Review-
dc.relation.isPartOfEuropean Economic Review-
pubs.publication-statusPublished-
pubs.publication-statusPublished-
pubs.volume70-
pubs.volume70-
pubs.organisational-data/Brunel-
pubs.organisational-data/Brunel/Brunel Staff by College/Department/Division-
pubs.organisational-data/Brunel/Brunel Staff by College/Department/Division/College of Business, Arts and Social Sciences-
pubs.organisational-data/Brunel/Brunel Staff by College/Department/Division/College of Business, Arts and Social Sciences/Dept of Economics and Finance-
pubs.organisational-data/Brunel/Brunel Staff by College/Department/Division/College of Business, Arts and Social Sciences/Dept of Economics and Finance/Economics and Finance-
pubs.organisational-data/Brunel/University Research Centres and Groups-
pubs.organisational-data/Brunel/University Research Centres and Groups/Brunel Business School - URCs and Groups-
pubs.organisational-data/Brunel/University Research Centres and Groups/Brunel Business School - URCs and Groups/Centre for Research into Entrepreneurship, International Business and Innovation in Emerging Markets-
pubs.organisational-data/Brunel/University Research Centres and Groups/School of Health Sciences and Social Care - URCs and Groups-
pubs.organisational-data/Brunel/University Research Centres and Groups/School of Health Sciences and Social Care - URCs and Groups/Brunel Institute for Ageing Studies-
pubs.organisational-data/Brunel/University Research Centres and Groups/School of Health Sciences and Social Care - URCs and Groups/Brunel Institute of Cancer Genetics and Pharmacogenomics-
pubs.organisational-data/Brunel/University Research Centres and Groups/School of Health Sciences and Social Care - URCs and Groups/Centre for Systems and Synthetic Biology-
pubs.organisational-data/Brunel/University Research Centres and Groups/School of Information Systems, Computing and Mathematics - URCs and Groups-
pubs.organisational-data/Brunel/University Research Centres and Groups/School of Information Systems, Computing and Mathematics - URCs and Groups/Multidisclipary Assessment of Technology Centre for Healthcare (MATCH)-
Appears in Collections:Dept of Economics and Finance Research Papers

Files in This Item:
File Description SizeFormat 
Fulltext.pdfFile is embargoed until 20/06/2018677.89 kBAdobe PDFView/Open


Items in BURA are protected by copyright, with all rights reserved, unless otherwise indicated.