?url_ver=Z39.88-2004&rft_val_fmt=info%3Aofi%2Ffmt%3Akev%3Amtx%3Adc&rft.relation=https%3A%2F%2Fdoktori.bibl.u-szeged.hu%2Fid%2Feprint%2F12445%2F&rft.title=Sovereign+Bond+Yield+Spreads+in+the+Eurozone%3A+Macroeconomics%2C+Monetary+Policy%2C+and+EU+Fiscal+Policy&rft.creator=+Alipanah+Sabri&rft.subject=05.02.01.09.+Makro%C3%B6kon%C3%B3mia&rft.description=Financial+fragmentation+in+the+Eurozone+is+still+reflected+in+the+widening+of+sovereign+bond%0D%0Aspreads+during+uncertain+times%2C+streaming+from+domestic+and+external+funding+imbalances+or%0D%0Amonetary+policy+stances.+The+Euro+area+has+encountered+severe+financial+difficulties.+After%0D%0Athe+Great+Financial+Depression%2C+European+economies%2C+particularly+Greece%2C+Ireland%2C+Italy%2C%0D%0APortugal%2C+and+Spain+(so-called+GIIPS+countries)%2C+faced+the+dynamics+of+budget+deficits+and%0D%0Aexperienced+significant+increases+in+their+sovereign+bond+yields%2C+which+decreased+the%0D%0Aconfidence+of+investors+in+the+ability+of+these+countries+to+meet+their+debt+commitments.%0D%0ATherefore%2C+the+divergence+in+long-term+bond+yields+in+European+countries+started+in+2010+and%0D%0Ahas+grown+substantially+since+2012+(Cuaresma+%26+Fern%C3%A1ndez%2C+2024).+The+concerns+about+the%0D%0Aeuro+area+breakup+increased+in+the+half+of+2012%2C+where+Italian+and+Spanish+5-year+sovereign%0D%0Ayield+spreads+reached+record+highs+because+of+self-fulfilling+speculation+and+multiple%0D%0Aequilibria.+Despite+carrying+out+some+significant+reforms+in+the+European+Union+after+the%0D%0Asovereign+crisis+in+2010%2C+such+as+introducing+unconventional+monetary+policies%2C+government%0D%0Abond+purchase+programs%2C+European+Stability+Mechanism+(ESM)+or+other+multiple+safety+lines%0D%0Ain+Europe%2C+the+Euro+area+was+still+fragmented+in+nature%2C+and+it+revealed+after+the+new%0D%0Aeconomic+crisis+(Covid-19+and+the+Russia+invasion+to+Ukraine).%0D%0AFinancial+fragmentation+can+be+studied+in+the+framework+of+sovereign+bond+yield+spreads%2C%0D%0Aas+the+Euro+area+governments+published+the+bonds+in+a+currency+with+no+complete+control%0D%0Aand+no+guarantee+to+have+the+necessary+budget+to+pay+the+investors+out+at+maturity%2C+which%0D%0Aleads+to+reducing+the+confidence+of+investors%2C+forcing+the+government+to+default+and%0D%0Aincreasing+the+risk+premium.+Therefore%2C+Sovereign+bond+yield+spreads+are+the+index+used+to%0D%0Aquantify+the+fragility+of+the+countries%E2%80%99+financial+structure+and+the+risk+of+market+failure.+This%0D%0Astudy+explores+the+gap+between+sovereign+bond+spreads+and+sovereign+credit+default+swap%0D%0Aspreads+and+proves+the+presence+of+a+high+cointegration+between+sovereign+CDS+and%0D%0Asovereign+bond+markets.+Moreover%2C+it+evidenced+the+association+between+sovereign+bond%0D%0Aspreads+and+other+country-specific+macroeconomic+fundamentals%2C+including+debt+to+GDP%0D%0Aratio+(as+a+proxy+for+fiscal+condition)+and+inflation.+Additionally%2C+we+employ+the+euro%E2%80%93dollar%0D%0Abase+swap+rate+as+a+proxy+for+the+scarcity+of+dollar+funding+in+the+Eurozone+and+the+EURO%0D%0AStock+VIX+index+to+capture+the+effect+of+investors%E2%80%99+risk+aversion+and+investor+uncertainty+on%0D%0Athe+sovereign+yield+spreads+in+the+Eurozone.+Moreover%2C+to+measure+sovereign+spread%2C+we+used%0D%0A7%0D%0Athe+difference+between+each+member+state's+10-year+sovereign+bond+yields+from+the+average%0D%0AEurozone+10-year+sovereign+bond+yields.%0D%0AAlso%2C+increasing+fundamental+doubts+over+the+integrity+of+the+Eurozone+highlights+the+critical%0D%0Arole+of+monetary+policies+and+fiscal+discipline+in+stabilizing+the+euro+area%E2%80%99s+sovereign+bond%0D%0Amarkets.+Therefore%2C+this+paper+aims+to+study+the+effectiveness+of+conventional+and%0D%0Aunconventional+monetary+policy+by+the+European+Central+Bank+(ECB).+The+rescue+packages%0D%0Aprovided+by+the+European+Commission+through+the+most+significant+European+RFA+(that+is%2C%0D%0AEuropean+Stability+Mechanism-ESM)+disbursements%2C+studying+the+effects+of+the+Excessive%0D%0ADeficit+Procedure+(EDP)+as+an+EU-level+fiscal+austerity+and+the+effectiveness+of+the+recent%0D%0AEU%E2%80%99s+recovery+plan-+Recovery+and+Resilience+Facility+(RRF)+which+is+the+milestone+program%0D%0Aunder+the+Next+Generation+EU+(NGEU)+to+decrease+the+volatility+in+EU+sovereign+bond%0D%0Amarkets.%0D%0ATherefore%2C+the+thesis+aims+to+identify+the+determinant+factors+of+the+Eurozone%E2%80%99s+sovereign%0D%0Aspread+using+a+panel+vector+error+correction+model+(VECM)+for+the+non-pandemic+period%0D%0A(2008Q1%E2%80%932019Q4)%2C+which+covers+the+events+of+the+Global+Financial+Crisis+and+the+Eurozone%0D%0Asovereign+debt+crisis+that+led+to+some+significant+reforms+in+the+euro+area.+We+then+extended%0D%0Athe+period+to+2022Q3+to+add+two+more+recent+crises%2C+the+COVID-19+pandemic+in+2020+and%0D%0Athe+energy+price+shock+in+2022%2C+to+evaluate+the+efficiency+of+the+abovementioned+reforms.&rft.date=2025-01-16&rft.type=Disszert%C3%A1ci%C3%B3&rft.type=NonPeerReviewed&rft.format=application%2Fpdf&rft.language=hu&rft.identifier=https%3A%2F%2Fdoktori.bibl.u-szeged.hu%2Fid%2Feprint%2F12445%2F1%2FDissertation-Sabri%2520Alipanah-%2520Final%2520Version.pdf&rft.format=application%2Fpdf&rft.language=hu&rft.identifier=https%3A%2F%2Fdoktori.bibl.u-szeged.hu%2Fid%2Feprint%2F12445%2F2%2FMegh%25C3%25ADv%25C3%25B3.pdf&rft.format=application%2Fpdf&rft.language=en&rft.identifier=https%3A%2F%2Fdoktori.bibl.u-szeged.hu%2Fid%2Feprint%2F12445%2F3%2FThesis%2520Booklet-%2520Sabri%2520Alipanah-Final%2520vesion.pdf&rft.identifier=+++Alipanah+Sabri%0A+++Sovereign+Bond+Yield+Spreads+in+the+Eurozone%3A+Macroeconomics%2C+Monetary+Policy%2C+and+EU+Fiscal+Policy.%0A++Doktori+%C3%A9rtekez%C3%A9s%2C+Szegedi+Tudom%C3%A1nyegyetem+(2000-).+%0A(2025)+++++&rft.language=eng