The significance of country-specific and common risk factors for CEE government bond spreads changes

The significance of country-specific and common risk factors for CEE government bond spreads changes

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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 knipex 88 01 180 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 hot topic guy funko pop that during risk-on periods (when the increase of misalignment falls down) there is consistency for increasing of creditworthiness undervaluation.