Towards a common European monetary union risk free rate

Mayordomo, Sergio; Peña, Juan Ignacio; Schwartz, Eduardo S.

Publication:
Towards a common European monetary union risk free rate

dc.affiliation.dpto	UC3M. Departamento de Economía de la Empresa	es
dc.contributor.author	Mayordomo, Sergio
dc.contributor.author	Peña, Juan Ignacio
dc.contributor.author	Schwartz, Eduardo S.
dc.date.accessioned	2012-03-16T17:42:34Z
dc.date.available	2012-03-16T17:42:34Z
dc.date.issued	2009-09
dc.description.abstract	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.
dc.format.mimetype	application/pdf
dc.identifier.bibliographicCitation	NBER working paper series, v. 15353, 2009
dc.identifier.issn	0898-2937
dc.identifier.uri	https://hdl.handle.net/10016/13890
dc.language.iso	eng
dc.publisher	National Bureau of Economic Research
dc.relation.ispartofseries	NBER working paper series
dc.relation.ispartofseries	15353
dc.rights	Atribución-NoComercial-SinDerivadas 3.0 España
dc.rights.accessRights	open access
dc.rights.uri	http://creativecommons.org/licenses/by-nc-nd/3.0/es/
dc.subject.eciencia	Empresa
dc.subject.other	Euro government bonds
dc.subject.other	Credit quality
dc.subject.other	Liquidity
dc.subject.other	Macro factors
dc.title	Towards a common European monetary union risk free rate
dc.type	working paper	*
dc.type.hasVersion	SMUR	*
dspace.entity.type	Publication