Importance of fiscal fundamentals for sovereign risk spread

@inbook{32014,
   author = {Szarowská, Irena},
   address = {Hershey PA, USA},
   booktitle = {Regaining Global Stability After the Financial Crisis},
   keywords = {sovereign risk spread; fiscal discipline; crisis; sovereign debt; Euro zone; sovereign default},
   howpublished = {elektronická verze "online"},
   language = {eng},
   location = {Hershey PA, USA},
   isbn = {9781522540267},
   pages = {127-146},
   publisher = {IGI Global},
   title = {Importance of fiscal fundamentals for sovereign risk spread},
   url = {https://www.igi-global.com/gateway/book/182359},
   year = {2018}
}

TY  - CHAP
ID  - 32014
AU  - Szarowská, Irena
PY  - 2018
TI  - Importance of fiscal fundamentals for sovereign risk spread
VL  - Advances in Finance, Accounting, and Economics
PB  - IGI Global
CY  - Hershey PA, USA
SN  - 9781522540267
KW  - sovereign risk spread
KW  - fiscal discipline
KW  - crisis
KW  - sovereign debt
KW  - Euro zone
KW  - sovereign default
UR  - https://www.igi-global.com/gateway/book/182359
N2  - The chapter examines the importance of fiscal fundamentals for sovereign risk spread in the period of 1995-2015, and its goal is to test whether stronger fiscal discipline reduces sovereign risk premiums. The empirical evidence is based on unbalanced annual panel data of 15 EU countries (its time span is divided into a pre-crisis and a post-crisis period). The study applies the generalized method of moments. Evidence shows that before the financial crisis, investors generally ignored bond risk factors in individual countries, but that the spreads sharply diverged starting from the year 2008. The results confirm a statistically significant impact of fiscal fundamentals on government bond yield spread. The improvement of the governments' fiscal position reduces sovereign yield spread. In a post-crisis period, findings report the raising of the importance of fiscal variables for spread, and GDP growth became a major determinant of government bond yield spreads, followed by the budget balance and debt development.
ER  - 

SZAROWSKÁ, Irena. Importance of fiscal fundamentals for sovereign risk spread. Online. In \textit{Regaining Global Stability After the Financial Crisis}. Hershey PA, USA: IGI Global, 2018, s.~127-146. Advances in Finance, Accounting, and Economics. ISBN~9781522540267.