Zinsspreads auf europäische Staatsanleihen: Implikationen und Lehren aus der europäischen Schuldenkrise

Abstract

This study analyses the time-varying determinants of sovereign bond yield spreads between Q1/1999 and Q1/2010. Before the financial crisis, which started end of 2007, financial markets seemed to have had limited assessment of credit risks in sovereign bond markets and risk aversion did not play a significant role in explaining bond yield spreads. After the outbreak of the financial crisis, markets corrected their previously too optimistic risk sensitiveness and started to consider the fiscal position of individual countries in their interest rate setting again. It is shown that the interest rate that Greece paid on its debt was, for a long time, too low when compared to other European countries. It was at the end of 2009 that the Greek interest rate advantage vanished. Given the fact that the Stability and Growth Pact (SGP) in its current form turned out to be ineffective in the past, one can conclude that financial markets play a very important role in imposing fiscal discipline on governments. The introduction of European bonds ('e-bonds') would work against this disciplining effect. A more sustainable solution to solve the problem of high and volatile risk premia on sovereign bonds without setting the stability of the whole euro area at risk is the introduction of a rule-based European crisis mechanism, which guides the handling of sovereign defaults, and the return to a credible fiscal consolidation path of all member states.