Towards a common European monetary union risk free rate
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Otros documentos de la autoría: Mayordomo, Sergio; Peña Sánchez de Rivera, Juan Ignacio; Schwartz, Eduardo S.
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Título
Towards a common European monetary union risk free rateFecha de Publicación
2009-09Resumen
A common European bond would yield a common European Monetary Union risk free rate. We present tentative estimates of this common risk free for the European Monetary Union countries from 2004 to 2009 using variables ... [+]
A common European bond would yield a common European Monetary Union risk free rate. We present tentative estimates of this common risk free for the European Monetary Union countries from 2004 to 2009 using variables motivated by a theoretical portfolio selection model. First, we analyze the determinants of EMU sovereign yield spreads and find significant effects of the credit quality, macro, correlation, and liquidity variables. However, their effects are different before and after the current financial crisis, being stronger in the latter period. Robustness tests with different data frequencies, benchmarks, liquidity variables, cross section regressions and balanced panels confirm the initial results. We propose four different estimates of the common risk free rate and show that, in most cases, this common rate could imply savings in borrowing costs for all the countries involved. [-]
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Cita bibliográfica
NBER working paper series, v. 15353, 2009Colección
NBER working paper series15353
Tipo de documento
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info:eu-repo/semantics/openAccess
info:eu-repo/semantics/openAccess