Hidden Bibliographic Details
| Other authors / contributors: | Zoli, Edda, author.
International Monetary Fund. European Department.
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| ISBN: | 1462394108
9781462394104
1452749051
9781452749051
1451873697
9781451873696
9786612844263
6612844264
1282844261
9781282844261
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| Digital file characteristics: | text file
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| Notes: | Includes bibliographical references (pages 21-23).
English.
Print version record.
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| Summary: | While the use of public resources is critical to cushion the impact of the financial crisis on the euro-area economy, it is key that the entailed fiscal costs not be seen by markets as undermining fiscal sustainability. From this perspective, to what extent do movements in euro area sovereign spreads reflect country-specific solvency concerns? In line with previous studies, the paper suggests that euro area sovereign risk premium differentials tend to co-move over time and are mainly driven by a common time-varying factor, mimicking global risk repricing. Since October 2008, however, there is evidence that markets have become progressively more concerned about the potential fiscal implications of national financial sectors' frailty and future debt dynamics. The liquidity of sovereign bond markets still seems to play a significant (albeit fairly limited) role in explaining changes in euro area spreads.
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| Other form: | Print version: Sgherri, Silvia. Euro area sovereign risk during the crisis. [Washington, D.C.] : International Monetary Fund, ©2009
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