RT Generic
T1 Towards a common European monetary union risk free rate
A1 Mayordomo, Sergio
A1 Peña, Juan Ignacio
A1 Schwartz, Eduardo S.
AB A common European bond would yield a common European Monetary Union risk free rate. We presenttentative estimates of this common risk free for the European Monetary Union countries from 2004to 2009 using variables motivated by a theoretical portfolio selection model. First, we analyze thedeterminants 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 currentfinancial 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, thiscommon rate could imply savings in borrowing costs for all the countries involved.
PB National Bureau of Economic Research
SN 0898-2937
YR 2009
FD 2009-09
LK https://hdl.handle.net/10016/13890
UL https://hdl.handle.net/10016/13890
LA eng
DS e-Archivo
RD 17 jul. 2024