Sovereign risk premiums in the eurozone: A regime switching analysis
(2014) NEKP01 20141Department of Economics
- Abstract
- This paper provides an empirical analysis of the relationship between economic variables and sovereign risk premiums in the eurozone between the years 1988 and 2013. By using a Markov regime switching model it is possible to prove a nonlinear relationship. The result supports previous research, arguing that the market is observing economic variables to a larger degree during periods of financial instability.
Please use this url to cite or link to this publication:
http://lup.lub.lu.se/student-papers/record/4402401
- author
- Norrefeldt, Gustaf LU
- supervisor
- organization
- course
- NEKP01 20141
- year
- 2014
- type
- H2 - Master's Degree (Two Years)
- subject
- keywords
- Sovereign risk premium, Government bonds, Yield spread, Markov switching regime model, European sovereign debt crisis
- language
- English
- id
- 4402401
- date added to LUP
- 2014-04-30 08:27:17
- date last changed
- 2014-04-30 08:27:17
@misc{4402401, abstract = {{This paper provides an empirical analysis of the relationship between economic variables and sovereign risk premiums in the eurozone between the years 1988 and 2013. By using a Markov regime switching model it is possible to prove a nonlinear relationship. The result supports previous research, arguing that the market is observing economic variables to a larger degree during periods of financial instability.}}, author = {{Norrefeldt, Gustaf}}, language = {{eng}}, note = {{Student Paper}}, title = {{Sovereign risk premiums in the eurozone: A regime switching analysis}}, year = {{2014}}, }