SOVEREIGN SPREADS AND FINANCIAL MARKET BEHAVIOUR BEFORE AND DURING THE CRISIS
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| Format: | Artículo científico |
| Language: | en |
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Universidad de Huelva
2016
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| _version_ | 1876491321562103808 |
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| author | Pawel Gajewski |
| author_facet | Pawel Gajewski |
| contents | SOVEREIGN SPREADS AND FINANCIAL MARKET BEHAVIOUR BEFORE AND DURING THE CRISIS Pawel Gajewski Economía y Finanzas EMU Fiscal Policy Financial Crisis Panel Estimation This paper aims at shedding some light on the mechanisms of pricing the EMU countries’ sovereign bonds in financial markets. Employing the Augmen - ted Mean Group (AMG) estimator, we find that major changes have occurred in terms of variables underlying sovereign risk. Since 2009, macroeconomic and fiscal fundamentals has started to play a more important role, but only those that capture domestic demand evolution. In contrast, price competiti - veness seems less important. The second conclusion lies in reversed attitude towards banking sector imbalances, as compared to the earlier period. One of the problems addressed concerns the horizon of projected macroeconomic and fiscal variables taken into account. The paper presents some evidence that financial markets have become more myopic and started to rely on short-term forecasts, whilst they had tended to encompass longer-term forecast horizon before the crisis. 2016 artículo científico 1576-0162 https://www.redalyc.org/articulo.oa?id=86645578003 en http://www.redalyc.org/revista.oa?id=866 REM. Revista de Economía Mundial application/pdf Universidad de Huelva REM. Revista de Economía Mundial (España) Num.42 |
| format | Artículo científico |
| id | redalyc_86645578003 |
| institution | Redalyc |
| language | en |
| publishDate | 2016 |
| publisher | Universidad de Huelva |
| spellingShingle | SOVEREIGN SPREADS AND FINANCIAL MARKET BEHAVIOUR BEFORE AND DURING THE CRISIS Pawel Gajewski Economía y Finanzas EMU Fiscal Policy Financial Crisis Panel Estimation SOVEREIGN SPREADS AND FINANCIAL MARKET BEHAVIOUR BEFORE AND DURING THE CRISIS Pawel Gajewski Economía y Finanzas EMU Fiscal Policy Financial Crisis Panel Estimation This paper aims at shedding some light on the mechanisms of pricing the EMU countries’ sovereign bonds in financial markets. Employing the Augmen - ted Mean Group (AMG) estimator, we find that major changes have occurred in terms of variables underlying sovereign risk. Since 2009, macroeconomic and fiscal fundamentals has started to play a more important role, but only those that capture domestic demand evolution. In contrast, price competiti - veness seems less important. The second conclusion lies in reversed attitude towards banking sector imbalances, as compared to the earlier period. One of the problems addressed concerns the horizon of projected macroeconomic and fiscal variables taken into account. The paper presents some evidence that financial markets have become more myopic and started to rely on short-term forecasts, whilst they had tended to encompass longer-term forecast horizon before the crisis. 2016 artículo científico 1576-0162 https://www.redalyc.org/articulo.oa?id=86645578003 en http://www.redalyc.org/revista.oa?id=866 REM. Revista de Economía Mundial application/pdf Universidad de Huelva REM. Revista de Economía Mundial (España) Num.42 |
| title | SOVEREIGN SPREADS AND FINANCIAL MARKET BEHAVIOUR BEFORE AND DURING THE CRISIS |
| topic | Economía y Finanzas EMU Fiscal Policy Financial Crisis Panel Estimation |
| url | https://www.redalyc.org/articulo.oa?id=86645578003 |