IS THE IMPACT OF MACROECONOMIC FUNDAMENTALS ON THE EURO AREA SOVEREIGN SPREADS INFLUENCED BY FINANCIAL REFORMS?

被引：0
|
作者：
Damette, Olivier [1 ,2 ]
Dufrenot, Gilles [3 ,4 ]
Froute, Philippe [5 ,6 ]
机构：
[1] Univ Paris Val Marne Paris XII, Fac Sci Econ & Gest, BETA, Creteil, France
[2] Univ Paris Val Marne Paris XII, Fac Sci Econ & Gest, ERUDITE, Creteil, France
[3] Univ Mediterranee, Ctr Rech Dev Econ & Finance Int, CEPII, Banque France, Marseille, France
[4] Univ Mediterranee, Ctr Rech Dev Econ & Finance Int, DEFI, Marseille, France
[5] Univ Paris Val Marne Paris XII, Fac Adm & Echanges Int, EconomiX, Creteil, France
[6] Univ Paris Val Marne Paris XII, Fac Adm & Echanges Int, LARGOTEC, Creteil, France
来源：
REVUE ECONOMIQUE | 2011年 / 62卷 / 06期
关键词：
D O I：
10.3917/reco.626.1135
中图分类号：
F [经济];
学科分类号：
02 ;
摘要：
In this paper we examine whether the weights of the forecasted macroeconomic variables in the valuation of sovereign risks has changed after the adoption of the Bale 2 new regulation framework (around the years 2005/2006 when the new rules begun to be implemented in Europe). For purpose of illustration, we examine the case of France, Germany and Greece. We estimate a time-varying probability Markov Switching model in which the break date is endogenous. Our results show differences across countries.
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收藏
页码：1135 / 1145
页数：11
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