An empirical analysis on the determinants of CEE government bond spreads

André Ebner

Emerging Markets Review, 2009, vol. 10, issue 2, 97-121

Abstract: This paper studies the spread between 10Â year Euro denominated Central and Eastern European (CEE) government bonds and their German counterpart. With newly available time series, regressions are run for each country separately in order to deliver a first insight into the underlying determinants. While higher ECB reference rate and market volatility increase bond spreads and turn out to be the main driving factors, there is no common pattern of macroeconomic fundamentals, pointing to strong heterogeneity within the CEE region. Overall, market variables are more significant than fundamentals during 1999 to 2007.

Keywords: Government; bond; spreads; Central; and; Eastern; Europe; Fundamental; data (search for similar items in EconPapers)
Date: 2009
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Citations: View citations in EconPapers (34)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:ememar:v:10:y:2009:i:2:p:97-121

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