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Sovereign risk premiums in the eurozone: A regime switching analysis

Norrefeldt, Gustaf LU (2014) NEKP01 20141
Department 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.
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author
Norrefeldt, Gustaf LU
supervisor
organization
course
NEKP01 20141
year
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}},
}