期刊名称：Euro Area Balance of Payments and International Investment Position Statistics
印刷版ISSN：1830-3420
电子版ISSN：1830-3439
出版年度：2012
出版社：European Central Bank
摘要：Since the intensi cation of the crisis in September 2008, all euro area long- term government bond yields relative to the German Bund have been char- acterised by highly persistent processes with upward trends for countries with weaker scal fundamentals. Looking at the daily period 1 September 2008 - 4 August 2011, we nd that three factors can explain the recorded developments in sovereign spreads: (i ) an aggregate regional risk factor, (ii ) the country-speci c credit risk and (iii ) the spillover e¤ect from Greece. Speci cally, higher risk aversion has increased the demand for the Bund and this is behind the pricing of all euro area spreads, including those for Austria, Finland and the Netherlands. Country-speci c credit ratings have played a key role in the developments of the spreads for Greece, Ireland, Portugal and Spain. Finally, the rating downgrade in Greece has contributed to developments in spreads of countries with weaker scal fundamentals: Ireland, Portugal, Italy, Spain, Belgium and France.
