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主权债券利差的变化作为欧洲主权债务危机的主要表现形式之一,是多种复杂原因综合作用的结果。本文利用流动性风险、信用风险和一般风险规避指标,选取2008-2013年欧盟国家的数据为样本,对金融危机以来主权债券利差的影响因素进行实证分析。研究结果发现,债务总体规模和宏观经济的基本要素对主权债券利差具有显著的影响,而流动性风险等因素对主权债券利差的影响则存在不确定性。
As one of the main manifestations of the sovereign debt crisis in Europe, the change in the spread of sovereign bonds is the result of a combination of many complicated causes. Based on the liquidity risk, credit risk and general risk aversion index, this paper chooses the data of EU countries from 2008 to 2013 as a sample to make an empirical analysis of the influencing factors of the sovereign bond spread since the financial crisis. The results show that the overall debt size and the macroeconomic fundamentals have a significant impact on the spread of sovereign bonds, while the impact of liquidity risk and other factors on the spread of sovereign bonds is uncertain.