Skip to main content
SpringerLink
Log in

Sovereign Bond Spreads and Economic Variables of European Countries Under the Analysis of Self-organizing Maps

  • Conference paper
  • First Online:
Scientific Methods for the Treatment of Uncertainty in Social Sciences

Part of the book series: Advances in Intelligent Systems and Computing ((AISC,volume 377))

  • 774 Accesses

Abstract

This paper presents an empirical analysis related to sovereign bond spreads and a set of economic variables since 1999 until 2013 for a sample of European countries. The analysis is carried out using an original tool in the financial literature: Self-Organizing Maps. This representation is able to cluster countries-years according to the similarities between their main macroeconomic fundamentals. We find interesting groups of countries and we relate them with their level of sovereign bond spreads. The results reflect the incidence of the last financial crisis over the economies and the effect over the eurozone.

This is a preview of subscription content, log in via an institution to check access.

Access this chapter

Log in via an institution
Chapter
USD 29.95
Price excludes VAT (USA)
  • Available as PDF
  • Read on any device
  • Instant download
  • Own it forever
eBook
USD 84.99
Price excludes VAT (USA)
  • Available as EPUB and PDF
  • Read on any device
  • Instant download
  • Own it forever
Softcover Book
USD 109.99
Price excludes VAT (USA)
  • Compact, lightweight edition
  • Dispatched in 3 to 5 business days
  • Free shipping worldwide - see info

Tax calculation will be finalised at checkout

Purchases are for personal use only

Institutional subscriptions

References

  • Arghyrou, M.G., Kontonikas, A.: The EMU sovereign-debt crisis: fundamentals, expectations and contagion European economy. J. Int. Finan. Mark. Inst. Money 22(4), 658–677 (2011)

    Article  Google Scholar 

  • Arora, V., Cerisola, M.: How does U.S. monetary policy influence economics conditions emerging markets? International monetary fund working paper /00/48 (2000)

    Google Scholar 

  • Baldacci, E., Gupta, S., Mati, A.: Political and fiscal risk determinants of sovereign spreads in emerging markets. Rev. Dev. Econ. 15, 251–263 (2011)

    Article  Google Scholar 

  • Barrios, S., Iversen, P., Lewandowska, M., Setze, R.: Determinants of intra-euro area government bond spreads during the financial crisis. Eur. Econ.-Econ. Pap. 388, 1–28 (2009)

    Google Scholar 

  • Basu, R.: Financial contagion and investor “Learning”: an empirical investigation. IMF working papers, 02/218, pp. 1–37 (2002)

    Google Scholar 

  • Codogno, L., Favero, C., Missale, A.: Yield spreads on EMU government bonds. Econ. Policy, 503–532 (2003)

    Google Scholar 

  • De la Dehesa, G.: La primera gran crisis financiera del siglo XXI: orígenes, detonantes, efectos, respuestas y remedios. Alianza Editorial S.A, Madrid (2009)

    Google Scholar 

  • Eichengreen, B., Mody, A.: What explains changing spreads on emerging market debt? National Bureau of Economic Research, working paper, 6408, 1−48 (1998)

    Google Scholar 

  • Eichengreen, B., Rose A., Wyplosz C.: Contagious currency Crises. National Bureau of Economic Research, working paper, 5681, 1−48 (1996)

    Google Scholar 

  • Gande, A., Parsley, D.: News spillover in the sovereign debt market. J. Finan. Econ. 75, 691–734 (2003)

    Article  Google Scholar 

  • Geyer, A., Kossmeier, S., Pichler, S.: Measuring systematic risk in EMU spreads. Rev. Finan. 8(2), 171–197 (2004)

    Article  MATH  Google Scholar 

  • González, R.M., Levy Yeyati, E.: Global factors and emerging market spreads. Econ. J. 118, 1917–1936 (2008)

    Google Scholar 

  • Grammatikos, T., Vermeulen, R.: Transmission of the financial and sovereign debt crises to the EMU: stock prices, CDS spreads and exchange rates. J. Int. Money Finan. 31(3), 517–533 (2011)

    Article  Google Scholar 

  • Hilscher, J., Nosbusch, Y.: Determinants of sovereign risk: macroeconomic fundamentals and the pricing of sovereign debt. Rev. Finan. 14, 235–262 (2010)

    Article  Google Scholar 

  • Kaminsky, G., Schmukler, S.: Emerging market instability: do sovereign ratings affect country risk and stock returns? World Bank Econ. Rev. 16(2), 171–195 (2002)

    Article  Google Scholar 

  • Manganelli, S., Wolswijk, G.: What drives spreads in the euro area government bond market? Econ. Policy, 193–240 (2009)

    Google Scholar 

  • Martinez, L.B., Terceño, A., Teruel, M.: Sovereign bond spreads determinants in Latin American countries: before and during the XXI financial crisis. Emerg. Mark. Rev. 17, 60–75 (2013)

    Article  Google Scholar 

  • Min, H.G., Lee, D.H., Nam, C., Park, M.C., Nam, S.H.: Determinants of emerging market bond spreads: cross-country evidence. Global Finan. J. 14, 271–286 (2003)

    Article  Google Scholar 

  • Sgherri, S., Zoli E.: Euro area sovereign risk during the crisis. IMF working papers /09/222, 1−22 (2009)

    Google Scholar 

Download references

Author information

Authors and Affiliations

  1. Department of Business Management Faculty of Business and Economics, Universitat Rovira i Virgili, Av. Universitat, 1, 43204, Reus, Spain

    Antonio Terceño-Gómez & M. Teresa Sorrosal-Forradellas

  2. Universidad Nacional del Sur, National Scientific and Technical Research Council (CONICET), Institute of Social and Economic Researchs of South (IIESS), Universidad Provincial del Sudoeste, 12 de Octubre 1198 – 3º Piso (B8000CPB), Bahía Blanca, Argentina

    Lisana B. Martinez & M. Belén Guercio

Authors
  1. Antonio Terceño-Gómez
    View author publications

    You can also search for this author in PubMed Google Scholar

  2. Lisana B. Martinez
    View author publications

    You can also search for this author in PubMed Google Scholar

  3. M. Teresa Sorrosal-Forradellas
    View author publications

    You can also search for this author in PubMed Google Scholar

  4. M. Belén Guercio
    View author publications

    You can also search for this author in PubMed Google Scholar

Corresponding author

Correspondence to Antonio Terceño-Gómez .

Editor information

Editors and Affiliations

  1. Royal Academy of Economic and Financial Sciences (RACEF), Barcelona, Spain

    Jaime Gil-Aluja

  2. Department of Business Management, Universitat Rovira i Virgili Faculty of Business and Economics, Reus, Spain

    Antonio Terceño-Gómez

  3. Department of Business Administration, University of Girona, Girona, Spain

    Joan Carles Ferrer-Comalat

  4. Department of Management Control and Information Systems, University of Chile, Santiago, Chile

    José M. Merigó-Lindahl

  5. Department of Business Administration, University of Girona, Girona, Spain

    Salvador Linares-Mustarós

Rights and permissions

Reprints and permissions

Copyright information

© 2015 Springer International Publishing Switzerland

About this paper

Cite this paper

Terceño-Gómez, A., Martinez, L.B., Sorrosal-Forradellas, M.T., Belén Guercio, M. (2015). Sovereign Bond Spreads and Economic Variables of European Countries Under the Analysis of Self-organizing Maps. In: Gil-Aluja, J., Terceño-Gómez, A., Ferrer-Comalat, J., Merigó-Lindahl, J., Linares-Mustarós, S. (eds) Scientific Methods for the Treatment of Uncertainty in Social Sciences. Advances in Intelligent Systems and Computing, vol 377. Springer, Cham. https://doi.org/10.1007/978-3-319-19704-3_28

Download citation

  • DOI: https://doi.org/10.1007/978-3-319-19704-3_28

  • Published:

  • Publisher Name: Springer, Cham

  • Print ISBN: 978-3-319-19703-6

  • Online ISBN: 978-3-319-19704-3

  • eBook Packages: EngineeringEngineering (R0)

Publish with us

Policies and ethics

Search

Navigation