Since 2009, concern about sovereign default risk widens the European bond spread. The Spanish spread surged due to larger-than-expected budget deficit. Therefore, term structure model that links fiscal exposure can explain how yield evolves during crisis.
|Number of pages||2|
|Journal||Expo 2012 Higher Degree Research : book of abstracts|
|Publication status||Published - 2012|
|Event||Higher Degree Research Expo (8th : 2012) - Sydney|
Duration: 12 Nov 2012 → 13 Nov 2012