Analysis of Sovereign Yield Spreads Behavior: The French Bonds Case

Vasilev, Aleksandar (2015) Analysis of Sovereign Yield Spreads Behavior: The French Bonds Case. Journal of Knowledge Management, Economics and Information Technology, 5 (3). pp. 1-17. ISSN 2069-5934

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Abstract

The introduction of the Euro has led to price level stability and fostered growth within the European Union. Consequently, since its launch as a store of value and unit of account, there has been a clear convergence between the yield of France’s sovereign debt and German benchmark. This paper tries to estimate the effect of certain macroeconomic fundamentals on the yield spread of French 10-year bonds, relative to the German Bund of the same maturity for the period January 1999-March 2003. It reaches the conclusion that staying in line with Maastricht criteria decreases the risk premium of external debt.

Keywords:French bonds, yield spreads, market fundamentals
Subjects:L Social studies > L111 Financial Economics
L Social studies > L140 Econometrics
L Social studies > L130 Macroeconomics
Divisions:Lincoln International Business School
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ID Code:35512
Deposited On:08 Apr 2019 12:41

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