| Title |
The significance of country-specific and common risk factors for CEE government bond spreads changes / |
| Authors |
Juodžiukynienė, Greta |
| DOI |
10.15388/Ekon.2016.1.9908 |
| Full Text |
|
| Is Part of |
Ekonomika.. Vilnius : Vilniaus universitetas. 2016, T. 95, nr. 1, p. 84-111.. ISSN 1392-1258 |
| Keywords [eng] |
Sovereign bond spreads ; Central and Eastern Europe ; Pooled mean group |
| Abstract [eng] |
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. |
| Published |
Vilnius : Vilniaus universitetas |
| Type |
Journal article |
| Language |
English |
| Publication date |
2016 |
