欧盟主权债券利差影响因素的实证分析  

Empirical Analysis on the Affecting Factors of EU Sovereign Bond Spreads

作　　者：葛结根[1] 

机构地区：[1]中南财经政法大学经济学院

出　　处：《国际金融研究》2014年第9期45-51,共7页Studies of International Finance

摘　　要：主权债券利差的变化作为欧洲主权债务危机的主要表现形式之一,是多种复杂原因综合作用的结果。本文利用流动性风险、信用风险和一般风险规避指标,选取2008-2013年欧盟国家的数据为样本,对金融危机以来主权债券利差的影响因素进行实证分析。研究结果发现,债务总体规模和宏观经济的基本要素对主权债券利差具有显著的影响,而流动性风险等因素对主权债券利差的影响则存在不确定性。As one of the major reflections of the European debt crisis, the changes of sovereign bond spreads result from the comprehensive function of many complex factors. This paper conducts an empirical analysis on the influencing factors of European Union sovereign bond spreads, using index of liquidity risk, credit risk and general risk aversion and taking data from European Union members as samples from 2008 to 2013. The paper finds that the total government debt and macroeco- nomic fundamentals have a significant effect on sovereign bond spreads, while factors such as liquidity risk have an uncertain effect on it.

关 键 词：欧债危机 主权债券利差 风险 宏观经济 

分 类 号：F831[经济管理—金融学]