What Drives Sovereign Risk Premiums? : An Analysis of Recent Evidence from the Euro Area

David Haughi ; Patrice Ollivaudi ; David Turneri iOECD

Organisation for Economic Co-operation and Development

关键词: debt;    interest rate;    fiscal policy;    government bonds;    deficit;    bond market;   

DOI  :  https://doi.org/10.1787/222675756166

学科分类：社会科学、人文和艺术（综合）

来源: OECD iLibrary

【 摘 要 】

This paper analyses recent large movements in the yield spread for sovereign bonds as between Germany and other euro area countries. While the general increase in risk aversion that has characterised the financial crisis is an important factor on its own, it is found that this has also magnified the importance of fiscal performance, in particular as measured by the ratio of debt service to tax receipts and expected fiscal deficits. Moreover, there is evidence to suggest that such effects are non-linear, so that incremental deteriorations in fiscal performance lead to ever larger increases in the spread. These findings imply that financial market reaction could become an increasingly important constraint on fiscal policy for some countries, a feature which was much less apparent in the years prior to the financial crisis when general risk aversion was abnormally low.