RT info:eu-repo/semantics/article
T1 Bond Yields, Sovereign Risk and Maturity Structure
A1 González Fernández, Marcos
A1 González Velasco, María del Carmen
A2 Economia Financiera y Contabilidad
K1 Economía
K1 Finanzas
K1 Maturity structure
K1 Sovereign risk
K1 Debt maturity
K1 Sovereign debt market
AB [EN] The aim of this paper is to analyze the relation between maturity structure, sovereignbond 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, sovereignrisk and the maturity structure of sovereign debt, regardless of the proxy that is used to measuresovereign risk and the time variance of the variables employed. The results indicate that riskshortens the maturity structure of sovereign debt because it reduces the stock of long-term debt. Therelationship between maturity structure and sovereign bond yields differs depending on the risk ofthe countries analyzed (non-monotonic relationship) and the differences between peripheral and corecountries are greater for higher levels of the yields. If we control for the indebtedness level of thesecountries, the results show that the relationship between the sovereign bond yields and maturitystrengthens as the debt level increases.
PB MDPI
LK https://hdl.handle.net/10612/18554
UL https://hdl.handle.net/10612/18554
NO González-Fernández, M., & González-Velasco, C. (2018). Bond Yields, Sovereign Risk and Maturity Structure. Risks , 6(4), 109. https://doi.org/10.3390/RISKS6040109.
DS BULERIA. Repositorio Institucional de la Universidad de León
RD 17-may-2024