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The immediate effect of monetary union on EU-15 sovereign debt yield spreads

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Gómez-Puig, Marta

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Abstract Yield spreads (corrected for exchange rate risk) over 10-year German securities of European Union countries that did not join EMU experienced an average decrease of 14.20 basis points during the first three years after the beginning of Currency Union. Conversely, Euro-area countries’ adjusted spreads registered an average rise of 11.98 basis points in the same period. This paper examines the elements (a possible change in the relative importance of domestic or international risk factors) behind these results using both panel estimations in the two groups of countries and a country-by-country specification in each of them.
Keywords EU
Classification European Politics; Political Economy; Economic Policy
Free Keywords Monetary integration; sovereign securities markets; international and domestic credit risk; market liquidity; Europäische Wirtschafts- und Währungsunion; Öffentliche Schulden; Zinsstruktur
Publication Year 2009
Page/Pages p. 929-939
Journal Applied Economics, 41 (2009) 7
Status Postprint; peer reviewed
Licence PEER Licence Agreement (applicable only to documents from PEER project)