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Título
Bond Yields, Sovereign Risk and Maturity Structure
Autor
Facultad/Centro
Área de conocimiento
Título de la revista
Risks
Número de la revista
4
Cita Bibliográfica
González-Fernández, M., & González-Velasco, C. (2018). Bond Yields, Sovereign Risk and Maturity Structure. Risks , 6(4), 109. https://doi.org/10.3390/RISKS6040109.
Editorial
MDPI
Fecha
2018
Resumen
[EN] The aim of this paper is to analyze the relation between maturity structure, sovereign
bond yields and sovereign risk in the Economic and Monetary Union for the period of 1990–2013.
The results confirm the existence of an inverse relationship between sovereign bond yields, sovereign
risk and the maturity structure of sovereign debt, regardless of the proxy that is used to measure
sovereign risk and the time variance of the variables employed. The results indicate that risk
shortens the maturity structure of sovereign debt because it reduces the stock of long-term debt. The
relationship between maturity structure and sovereign bond yields differs depending on the risk of
the countries analyzed (non-monotonic relationship) and the differences between peripheral and core
countries are greater for higher levels of the yields. If we control for the indebtedness level of these
countries, the results show that the relationship between the sovereign bond yields and maturity
strengthens as the debt level increases.
Materia
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SI
URI
DOI
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