Abstract
In a global world such as we live today, where any economic, social or environmental news affects not only the country where it originates, but it extends as a domino effect, it has a consequence that the information disclosure by the public institutions are must adequate to mitigate the impact that may be in their investors. The risk premium has become a fundamental element in analyzing the confidence that is deposited in the countries. Every day sees its fluctuation according to the news which are disclosed in both the economic and general press. Therefore, the objective of this work will be to analyze the relationship that the Spanish risk premium has in the IBEX 35. To do this, the period 2000 to 2016 will be taken as the basis of study. Notably as a main conclusion that the relationship between both variables exists, but not with the expected intensity.
This is a preview of subscription content, log in via an institution.
Buying options
Tax calculation will be finalised at checkout
Purchases are for personal use only
Learn about institutional subscriptionsReferences
Alesina, A., De Broeck, M., Prati, A., Tabellini, G.: Default risk on government debt in OECD countries. Econ. Policy 15(15), 427–463 (1992)
Alonso, N., Trillo, D.: Riesgo soberano en la eurozona: ¿una cuestión técnica? Papeles de Europa 28(1), 1–26 (2015)
Álvarez, M.: La prima de riesgo. Análisis de su evolución. Universidad de A Coruña, A Coruña, Spain (2013)
Amor, J.M.: La vulnerabilidad en los mercados de deuda soberana en la Unión Monetaria Europea. Boletín Económico ICE 863, 43–51 (2011)
Ardagna, S., Caselli, F., Lane, T.: Fiscal discipline and the cost of public debt service: Some estimates for OECD countries. European Central Bank (ECB), Working Paper No. 411, Frankfurt, Germany (2004)
Arrow, K.: Gifts and exchanges. Philos. Public Aff. 1(4), 343–362 (1972)
Attinasi, M., Chcherita, C., Nickel, C.: What explains the surge in euro area sovereign spreads during the financial crisis of 2007–09? European Central Bank Working Paper No. 1131, Frankfurt, Germany (2009)
Barbosa, L., Costa, S.: Determinants of sovereign bond yield spreads in the euro area in the context of the economic and financial crisis. Economic Bulletin Autumn 2010. Bank of Portugal, Lisbon, Portugal (2010)
Barrios, S., Iversen, P., Lewandowska, M., Setzer, R.: Determinants of intraeuro area government bond spreads during the financial crisis. European Commission’s Directorate General for Economic and Financial Affairs, Economic Paper No. 388, Brussels, Belgium (2009)
Beber, A., Brandt, M.W., Kavajecz, K.A.: Flight-to-quality or flight-toliquidity? Evidence from the euro-area bond market. Rev. Financ. Stud. 3(22), 925–957 (2009)
Bernoth, K., von Hagen J., Schuknecht, L.: Sovereign risk premiums in the European government bond market. European Central Bank, Working Paper No. 369, Frankfurt, Germany (2004)
Bernoth, K., Erdogan, B.: Sovereign bond yield spreads: a time varying coefficient approach. J. Int. Money Financ. 31, 639–656 (2012)
Bormann, S.: Sentiment indices on financial markets: what do they measure? Economics Discussion Papers No. 2013/58, Kiel Institute for the Word Economy, Kiev, Ukraine (2013)
Codogno, L., Favero, C., Missale, A.: Yield spreads on EMU government bonds. Economic Policy, October, pp. 503–532 (2003)
De Andrés, J.: Un análisis de la curva de rendimientos en el mercado de deuda pública española a medio y largo plazo en el periodo 1993–2004. Revista Atlántica de Economía 3(11), 1–30 (2004)
Dülman, K., Windfuhr, M.: Credit spreads between German and Italian sovereign bonds: do one-factor affine models work? Can. J. Adm. Sci. 17(2), 166–181 (2000)
Favero, C.A., Giavazzi, F., Spaventa, L.: High yields: the spread on German interest rates. Econ. J. 107(443), 956–985 (1997)
Fontana, A., Scheicher, M.: An analysis of euro area sovereign CDS and their relation with government bonds. European Central Bank (ECB), Working Paper No. 1271, Frankfurt, Germany (2010)
Fukuyama, F.: Trust: The Social Virtues and the Creation of Prosperity. The Free Press, Nueva York (1995)
Garcia, J.A., Werner, S.E.V.: Bond risk premia, macroeconomic factors and financial crisis in the euro area. European Central Bank (ECB), Working Paper No. 1938, Frankfurt, Germany (2015)
Geyer, A., Kossmeier, S., Pichler, S.: Measuring systematic risk in EMU government yield spreads. Rev. Financ. 8(2), 171–197 (2004)
González, C., González, M.: Is there a contagion effect in the eurozone? Evidence from the sovereign risk premiums analysis. Cuadernos de CC.EE y EE 65, 71–84 (2013)
Guiso, L., Sapienza, P., Zingales, L.: Trusting the stock market. European Corporate Governance Institute (ECGI). Working Papers Series in Finance, Working Paper No. 170, Brussels, Belgium (2007)
Haugh, D., Ollivaud, P., Turner, D.: What drives sovereign risk premiums? An analysis of recent evidence from the euro area. The Organisation for Economic Co-operation and Development (OECD), Economics Department, Working Paper No. 718, Paris, France (2009)
Jacoby, G., Shiller, I.: The determinants of TIPS yields spreads. J. Appl. Financ. 17(2), 72–81 (2007)
Knight, F.H.: Risk, Uncertainty, and Profit. Harper, New York, USA (1921)
Krugman, P.: ¡Acabad ya con esta crisis!. Crítica, Barcelona, Spain (2012)
Manganelli, S., Wolswijk, G.: What drives spreads in the euro area government bond market? Econ. Policy 24(58), 191–240 (2007)
Martínez, L.B., Teruel, M., Terceño, A.: Determinantes de Spreads Soberanos durante la reciente crisis financiera: el caso europeo. Cuadernos de Administración 29(53), 77−100 (2016)
Mody, A.: From Bear Stearns to Anglo Irish: How Eurozone sovereign spreads related to financial sector vulnerability. International Monetary Fund (IMF), Working Paper No. 09/108, Washington, USA (2009)
North, D.: Structure and Change in Economic History. WW Norton, New York (1981)
Pérez, I.: El papel de la confianza en la evolución de la economía: evidencia empírica para el caso español. Universidad de A Coruña, A Coruña, Spain (2015)
Schuknecht, L., Von Hagen, J., Wolswijk, G.: Government risk premiums in the bond market: EMU and Canada. Eur. J. Polit. Econ. 25, 371–384 (2009)
Schulz, A., Wolff, G.B.: The German SNG bond market: Structure, determinants of yield spreads and Berlin’s forgone bailout. J. Econ. Stat. 229(1), 61–83 (2009)
Stiglitz, J.: Whither reform? Ten years of transition. Annual Bank Conference on Development Economics. Washington, USA, 28–30 April 1999
Author information
Authors and Affiliations
Corresponding author
Editor information
Editors and Affiliations
Rights and permissions
Copyright information
© 2019 Springer Nature Switzerland AG
About this paper
Cite this paper
Paule Vianez, J., Plaza Casado, P., Escamilla Solano, S., Sánchez de Lara, M.Á. (2019). Effect of the Spanish Sovereign Risk Premium on the IBEX 35. Evolution 2000–2016. In: Gil-Lafuente, J., Marino, D., Morabito, F. (eds) Economy, Business and Uncertainty: New Ideas for a Euro-Mediterranean Industrial Policy. AEDEM 2017. Studies in Systems, Decision and Control, vol 180. Springer, Cham. https://doi.org/10.1007/978-3-030-00677-8_7
Download citation
DOI: https://doi.org/10.1007/978-3-030-00677-8_7
Published:
Publisher Name: Springer, Cham
Print ISBN: 978-3-030-00676-1
Online ISBN: 978-3-030-00677-8
eBook Packages: Intelligent Technologies and RoboticsIntelligent Technologies and Robotics (R0)