英国和欧洲政府债券市场主权风险溢价的决定因素:英国退欧的影响

IF 1.5 Q2 ECONOMICS
Samir Kadiric
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引用次数: 0

摘要

本文分析了英国和欧洲政府债券市场的最新发展,参考了英国离开欧盟的决定。本研究的两个主要目标是,首先,检验英国脱欧公投结果是否影响了风险溢价,其次,公投后风险定价是否有任何变化。本文发现英国脱欧公投对选定经济体的风险溢价有显著影响。此外,结果表明,在公投结果公布后,风险定价发生了相当大的变化。信用违约风险和风险厌恶在公投后的时期扮演着比投票前重要得多的角色,尤其是在英国。
本文章由计算机程序翻译,如有差异,请以英文原文为准。
The determinants of sovereign risk premiums in the UK and the European government bond market: the impact of Brexit.

This paper analyzes recent developments in the British and European government bond markets with reference to the UK's decision to leave the European Union. The two main goals of the study are, firstly, to examine whether the Brexit referendum result has affected the risk premium and, secondly, whether there are any changes in risk pricing following the referendum. The paper finds a significant impact of the Brexit referendum on the risk premium in selected economies. Furthermore, the results suggest that there is a considerable change in risk pricing after the announcement of the referendum result. Credit default risk and the risk aversion play a much important role in the post-referendum period than they did prior to the vote, particularly in the UK.

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来源期刊
CiteScore
3.50
自引率
0.00%
发文量
24
期刊介绍: The double-blind peer reviewed Journal International Economics and Economic Policy publishes empirical and theoretical contributions, especially papers which are relevant for economic policy. The main focus of the journal is on comparative economic policy, international political economy, including international organizations and policy cooperation, monetary and real/technological dynamics in open economies, globalization and regional integration, trade, migration, international investment, internet commerce and regulation.IEEP particularly offers contributions from the policy community and provides a forum for exchange for the academic and policy community. Officially cited as: Int Econ Econ Policy
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