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The Determinants of Country Risk Premium Volatility: Evidence from a Panel VAR Model
Croatian Economic Survey, 19 (2017), 1; 37-66. https://doi.org/10.15179/ces.19.1.2
Palić, Petra; Posedel Šimović, Petra; Vizek, Maruška

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Palić, P., Posedel Šimović, P. i Vizek, M. (2017). The Determinants of Country Risk Premium Volatility: Evidence from a Panel VAR Model. Croatian Economic Survey, 19. (1), 37-66. doi: 10.15179/ces.19.1.2

Palić, Petra, et al. "The Determinants of Country Risk Premium Volatility: Evidence from a Panel VAR Model." Croatian Economic Survey, vol. 19, br. 1, 2017, str. 37-66. https://doi.org/10.15179/ces.19.1.2

Palić, Petra, Petra Posedel Šimović i Maruška Vizek. "The Determinants of Country Risk Premium Volatility: Evidence from a Panel VAR Model." Croatian Economic Survey 19, br. 1 (2017): 37-66. https://doi.org/10.15179/ces.19.1.2

Palić, P., Posedel Šimović, P. i Vizek, M. (2017) 'The Determinants of Country Risk Premium Volatility: Evidence from a Panel VAR Model', Croatian Economic Survey, 19(1), str. 37-66. doi: 10.15179/ces.19.1.2

Palić P, Posedel Šimović P, Vizek M. The Determinants of Country Risk Premium Volatility: Evidence from a Panel VAR Model. Croatian Economic Survey [Internet]. 30.06.2017. [pristupljeno 06.12.2024.];19(1):37-66. doi: 10.15179/ces.19.1.2

P. Palić, P. Posedel Šimović i M. Vizek, "The Determinants of Country Risk Premium Volatility: Evidence from a Panel VAR Model", Croatian Economic Survey, vol. 19, br. 1, str. 37-66, Lipanj 2017. [Online]. Dostupno na: https://urn.nsk.hr/urn:nbn:hr:213:546258. [Citirano: 06.12.2024.]

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Podaci o radu
Naslov (engleski)The Determinants of Country Risk Premium Volatility: Evidence from a Panel VAR Model
AutorPetra Palić
AutorPetra Posedel Šimović
AutorMaruška Vizek
Autorova ustanovaEkonomski institut, Zagreb
Znanstveno / umjetničko
područje, polje i grana		DRUŠTVENE ZNANOSTI
Ekonomija
Sažetak (engleski)
We use data for 24 European countries, spanning from 1994 to 2015, in order to examine how changes in macroeconomic conditions influence country risk premium volatility proxied by sovereign spreads variance. In the first part of the empirical analysis, we estimate the univariate generalized autoregressive conditional heteroskedasticity (GARCH) model in order to obtain the conditional variance of sovereign bond spreads. We show that an increase in this variance coincides with economic and financial crisis occurring either in the country or globally. In the second part of the empirical analysis, we estimate the panel vector autoregression (panel VAR) model in order to model the interplay between macroeconomic fundamentals (inflation, output gap, public debt and interest rates) and the country’s risk premium volatility. We show that overheating of the economy, along with an unexpected increase in public debt, inflation and interest rates, increase the country’s risk premium volatility. We also show that a sudden increase in the country´s risk premium volatility depresses the economy, exerts deflationary pressures on consumer prices, and is followed by a strong and permanent increase in public debt.
Ključne riječi (engleski)
Jezikengleski
Vrsta publikacijeZnanstveni rad - Izvorni znanstveni rad
Status objaveObjavljen
Vrsta recenzijeRecenziran
Verzija publikacijeZavršna verzija rukopisa prihvaćena za objavljivanje (postprint)
Naslov časopisaCroatian Economic Survey
Brojčani podacivol. 19, br. 1, str. 37-66
p-ISSN1330-4860
e-ISSN1846-3878
DOIhttps://doi.org/10.15179/ces.19.1.2
URN:NBNurn:nbn:hr:213:546258
Datum objave publikacije2017-06-30
ProjektŠifra: UIP-2013-11-1356/HR
Financijer: HRZZ
Linija financiranja: UIP
URL dokumentahttps://hrcak.srce.hr/184543
Vrsta resursaTekst
Prava pristupaOtvoreni pristup
Uvjeti korištenjaIkona licence Zaštićeno autorskim pravom.
Datum i vrijeme pohrane2018-03-21 10:18:32