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dc.contributor.authorMANGANELLI, Simone
dc.contributor.authorWOLSWIJK, Guido
dc.contributor.authorRAVN, Morten O.
dc.contributor.authorTHESMAR, David
dc.date.accessioned2011-04-19T12:48:39Z
dc.date.available2011-04-19T12:48:39Z
dc.date.issued2009
dc.identifier.citationEconomic Policy, 2009, 58, 191-240
dc.identifier.issn0266-4658
dc.identifier.urihttps://hdl.handle.net/1814/16547
dc.description.abstractSpreads between euro area government bond yields are related to short-term interest rates, which are in turn related to market liquidity, to cyclical conditions, and to investors' incentives to take risk. In theory, lower interest rates are associated with lower degrees of risk aversion and smaller government bond spreads. Empirically, the Eurosystem's short-term interest rates are positively related to those spreads, which our econometric model finds to include significant and policy-relevant default risk and liquidity risk components. - Simone Manganelli and Guido Wolswijk.
dc.language.isoen
dc.publisherWiley-Blackwell Publishing, Inc
dc.titleWhat Drives Spreads in the Euro Area Government Bond Market?
dc.typeArticle
dc.identifier.doi10.1111/j.1468-0327.2009.00220.x
dc.neeo.contributorMANGANELLI|Simone|aut|
dc.neeo.contributorWOLSWIJK|Guido|aut|
dc.neeo.contributorRAVN|Morten O.|aut|
dc.neeo.contributorTHESMAR|David|aut|
dc.identifier.startpage191
dc.identifier.endpage240
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dc.identifier.issue58


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