{"id":7226,"date":"2016-06-27T14:14:42","date_gmt":"2016-06-27T12:14:42","guid":{"rendered":"https:\/\/www.rrz.sk\/risk-premiums-in-slovak-government-bonds\/"},"modified":"2022-03-04T14:03:22","modified_gmt":"2022-03-04T13:03:22","slug":"risk-premiums-in-slovak-government-bonds","status":"publish","type":"post","link":"https:\/\/www.rrz.sk\/en\/risk-premiums-in-slovak-government-bonds\/","title":{"rendered":"Risk Premiums in Slovak Government Bonds"},"content":{"rendered":"<div id=\"pl-7226\"  class=\"panel-layout\" ><div id=\"pg-7226-0\"  class=\"panel-grid panel-no-style\" ><div id=\"pgc-7226-0-0\"  class=\"panel-grid-cell\" ><div id=\"panel-7226-0-0-0\" class=\"so-panel widget widget_sow-editor panel-first-child panel-last-child\" data-index=\"0\" ><div\n\t\t\t\n\t\t\tclass=\"so-widget-sow-editor so-widget-sow-editor-base\"\n\t\t\t\n\t\t>\n<div class=\"siteorigin-widget-tinymce textwidget\">\n\t<p>In the period 2009-2015, we decompose the term structure of spreads to credit risk premium, liquidity premium, safety\/convenience demand, and segmentation effects. While the level of the term structure of spreads is mostly related to sovereign credit risk, non-default components are related to the second principal component of spreads.<\/p>\n<p>We also identify a siezable effect of public sector purchase programme conducted by the European Central Bank with a magnitude in excess of 60 basis points for the ten-year bond. To study determinants of spreads in a longer sample 2000-2015, we construct credit spreads from international euro-denominated bonds. We find that debt-to-GDP ratio together with global financial variables explain a substantial fraction of spread variation.<\/p>\n<p>Keywords: Risk premiums, yield curve models, sovereign credit risk, liquidity<\/p>\n<p>JEL Classification: F3, G1, G17<\/p>\n<\/div>\n<\/div><\/div><\/div><\/div><\/div>","protected":false},"excerpt":{"rendered":"<p>We study risk premiums in Slovak government bonds. We focus on the country-specific part of yields which we associate with the spread to overnight-indexed swaps.<\/p>\n","protected":false},"author":6,"featured_media":12456,"comment_status":"open","ping_status":"open","sticky":false,"template":"","format":"standard","meta":{"_acf_changed":false,"h5ap_radio_sources":[],"footnotes":""},"categories":[136,158,165],"tags":[70,84],"class_list":["post-7226","post","type-post","status-publish","format-standard","has-post-thumbnail","hentry","category-budget","category-publications","category-studies","tag-discussion-papers","tag-studies"],"acf":[],"yoast_head":"<!-- This site is optimized with the Yoast SEO plugin v26.6 - https:\/\/yoast.com\/wordpress\/plugins\/seo\/ -->\n<title>Risk Premiums in Slovak Government Bonds - Rada pre rozpo\u010dtov\u00fa zodpovednos\u0165<\/title>\n<meta name=\"robots\" content=\"index, follow, max-snippet:-1, max-image-preview:large, max-video-preview:-1\" \/>\n<link rel=\"canonical\" href=\"https:\/\/www.rrz.sk\/en\/risk-premiums-in-slovak-government-bonds\/\" \/>\n<meta property=\"og:locale\" content=\"en_US\" \/>\n<meta property=\"og:type\" content=\"article\" \/>\n<meta property=\"og:title\" content=\"Risk Premiums in Slovak Government Bonds - Rada pre rozpo\u010dtov\u00fa zodpovednos\u0165\" \/>\n<meta property=\"og:description\" content=\"We study risk premiums in Slovak government bonds. We focus on the country-specific part of yields which we associate with the spread to overnight-indexed swaps.\" \/>\n<meta property=\"og:url\" content=\"https:\/\/www.rrz.sk\/en\/risk-premiums-in-slovak-government-bonds\/\" \/>\n<meta property=\"og:site_name\" content=\"Rada pre rozpo\u010dtov\u00fa zodpovednos\u0165\" \/>\n<meta property=\"article:published_time\" content=\"2016-06-27T12:14:42+00:00\" \/>\n<meta property=\"article:modified_time\" content=\"2022-03-04T13:03:22+00:00\" \/>\n<meta property=\"og:image\" content=\"https:\/\/www.rrz.sk\/wp-content\/uploads\/2016\/06\/Depositphotos_272898198_DS.jpg\" \/>\n\t<meta property=\"og:image:width\" content=\"2048\" \/>\n\t<meta property=\"og:image:height\" content=\"1152\" \/>\n\t<meta property=\"og:image:type\" content=\"image\/jpeg\" \/>\n<meta name=\"author\" content=\"\u017dofia\" \/>\n<meta name=\"twitter:card\" content=\"summary_large_image\" \/>\n<meta name=\"twitter:label1\" content=\"Written by\" \/>\n\t<meta name=\"twitter:data1\" content=\"\u017dofia\" \/>\n\t<meta name=\"twitter:label2\" content=\"Est. reading time\" \/>\n\t<meta name=\"twitter:data2\" content=\"1 minute\" \/>\n<script type=\"application\/ld+json\" class=\"yoast-schema-graph\">{\"@context\":\"https:\/\/schema.org\",\"@graph\":[{\"@type\":\"WebPage\",\"@id\":\"https:\/\/www.rrz.sk\/en\/risk-premiums-in-slovak-government-bonds\/\",\"url\":\"https:\/\/www.rrz.sk\/en\/risk-premiums-in-slovak-government-bonds\/\",\"name\":\"Risk Premiums in Slovak Government Bonds - 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