An Estimation of the Default Probabilities of Spanish Non-Financial Corporations and Their Application to Evaluate Public Policies
In: Banco de Espana Occasional Paper No. 2319
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In: Banco de Espana Occasional Paper No. 2319
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In: Banco de Espana Occasional Paper No. 2119
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In: Banco de Espana Occasional Paper No. 2020
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In: Banco de Espana Article 39/20
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A common European bond would yield a common European Monetary Union risk free rate. We present tentative estimates of this common risk free for the European Monetary Union countries from 2004 to 2009 using variables motivated by a theoretical portfolio selection model. First, we analyze the determinants of EMU sovereign yield spreads and find significant effects of the credit quality, macro, correlation, and liquidity variables. However, their effects are different before and after the current financial crisis, being stronger in the latter period. Robustness tests with different data frequencies, benchmarks, liquidity variables, cross section regressions and balanced panels confirm the initial results. We propose four different estimates of the common risk free rate and show that, in most cases, this common rate could imply savings in borrowing costs for all the countries involved.
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In: Banco de Espana Working Paper No. 2238
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In: Banco de Espana Working Paper Forthcoming
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In: Banco de Espana Article 28/20
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In: Banco de Espana Occasional Paper No 2313
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