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dc.contributor.authorMayordomo, Sergio
dc.contributor.authorPeña Sánchez de Rivera, Juan Ignacio
dc.contributor.authorSchwartz, Eduardo S.
dc.date.accessioned2014-02-20T09:22:24Z
dc.date.available2014-02-20T09:22:24Z
dc.date.issued2009-09
dc.identifierhttp://hdl.handle.net/10016/13890
dc.identifier.citationNBER working paper series, v. 15353, 2009
dc.identifier.issn0898-2937
dc.identifier.urihttp://hdl.handle.net/10234/84158
dc.description.abstractA 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.
dc.format.mimetypeapplication/pdf
dc.language.isoeng
dc.publisherNational Bureau of Economic Research
dc.relation.isPartOfSeriesNBER working paper series
dc.relation.isPartOfSeries15353
dc.rights.urihttp://rightsstatements.org/vocab/CNE/1.0/*
dc.subjectEmpresa
dc.subject.otherEuro government bonds
dc.subject.otherCredit quality
dc.subject.otherLiquidity
dc.subject.otherMacro factors
dc.titleTowards a common European monetary union risk free rate
dc.typeinfo:eu-repo/semantics/workingPaper
dc.rights.accessRightsinfo:eu-repo/semantics/openAccess


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