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- W3021687907 abstract "Against the background of the current debate about fiscal sustainability in several advanced economies, this paper estimates determinants of G7 sovereign bond spreads, using high-frequency proxies for market expectations about macroeconomic fundamentals and allowing for time-varying parameters. The paper finds substantial asymmetry in the importance of country fundamentals and considerable time variations in the pricing of risks. There has been a reduced pricing of several risk factors in the years preceding the financial crisis, and either an over-pricing of risk or the pricing of a re-denomination risk of euro area bonds during the European sovereign debt crisis, a pattern that does not apply to the non-euro area G7 bonds." @default.
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- W3021687907 date "2014-10-01" @default.
- W3021687907 modified "2023-10-18" @default.
- W3021687907 title "The pricing of G7 sovereign bond spreads – The times, they are a-changin" @default.
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- W3021687907 doi "https://doi.org/10.1016/j.jbankfin.2014.06.001" @default.
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