Show simple item record

dc.contributor.authorGajewski, Paweł
dc.descriptionJEL: C23, E43, E62, F34, G01, G12, H60pl_PL
dc.description.abstractThis paper aims at shedding some light on the mechanisms of pricing the EMU countries’ sovereign bonds in financial markets. Employing the Augmented Mean Group (AMG) estimator, we find that major changes have occurred in terms of variables underlying sovereign risk. Since 2009, macroeconomic and fiscal fundamentals has started to play a more important role, but only those that capture domestic demand evolution. In contrast, price competitiveness seems less important. The second conclusion lies in reversed attitude towards banking sector imbalances, as compares to earlier period. One of the problems addressed concerns the horizon of projected macroeconomic and fiscal variables taken into account. The paper presents some evidence that financial markets have become more myopic and started to rely on short-term forecasts, whilst they had tended to encompass longer-term forecast horizon before the crisis.pl_PL
dc.publisherFaculty of Economics and Sociology of the University of Lodzpl_PL
dc.relation.ispartofseriesLodz Economics Working Paper;4/2014
dc.rightsUznanie autorstwa 3.0 Polska*
dc.subjectfinancial crisispl_PL
dc.subjectfiscal policypl_PL
dc.subjectpanel estimationpl_PL
dc.titleSovereign spreads and financial market behavior before and during the crisispl_PL
dc.contributor.authorAffiliationUniversity of Lodz, Faculty of Economics and Sociologypl_PL

Files in this item


This item appears in the following Collection(s)

Show simple item record

Uznanie autorstwa 3.0 Polska
Except where otherwise noted, this item's license is described as Uznanie autorstwa 3.0 Polska