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Article Dans Une Revue Review of Finance Année : 2017

Regime-Dependent Sovereign Risk Pricing During the Euro Crisis

Richard Portes
  • Fonction : Auteur
Julien Fouquau
  • Fonction : Auteur
Anne-Laure Delatte

Résumé

Previous work has documented a greater sensitivity of long-term government bond yields to fundamentals in euro area peripheral countries during the euro crisis, but we know little about the driver(s) of regime switches. Our estimates based on a panel smooth threshold regression model quantify and explain them: (1) investors have penalized a deterioration of fundamentals more strongly from 2010 to 2012; (2) the higher the bank credit risk, measured with the premium on credit derivatives, the higher the extra premium on fundamentals; (3) after ECB President Draghi’s speech in July 2012, it took 1 year to restore the noncrisis regime and suppress the extra premium.

Dates et versions

hal-01663123 , version 1 (13-12-2017)

Identifiants

Citer

Richard Portes, Julien Fouquau, Anne-Laure Delatte. Regime-Dependent Sovereign Risk Pricing During the Euro Crisis. Review of Finance, 2017, 21 (1Suppl), pp.363-385. ⟨10.1093/rof/rfw050⟩. ⟨hal-01663123⟩
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