the web's biggest credit risk modeling resource.

Credit Jobs

Home Glossary Links FAQ / About Site Guide Search


Submit Your Paper

In Rememberance: World Trade Center (WTC)

Export citation to:
- Text (plain)
- BibTeX

Default Premia on European Government Debt

by Ingunn M. Lønning of the Norges Bank

December 1999

Abstract: This paper addresses the question of the existence and size of a risk premium in the Eurobond market. We measure the yield difference between German government bonds and bonds issued in Deutsche Mark by several European countries. The results are regressed against macroeconomic variables supposed to be determinants of the risk of default on government debt. Our yield differences are smaller than those found between US states. However, some of our macroeconomic variables seem to be good predictors of yield differentials. A natural conclusion is that yield differentials partially are related to risks perceived by market participants.

JEL Classification: E43, E44, F35, F36, H63.

Keywords: Bond Yield, Default, EMU, Government Debt, Risk Premium.

Published in: Review of World Economics, Vol. 136, No. 2, (June 2000), pp. 259-283.

Books Referenced in this paper:  (what is this?)

Download paper (107K PDF) 41 pages