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Risks 2018, 6(4), 109; https://doi.org/10.3390/risks6040109

Bond Yields, Sovereign Risk and Maturity Structure

Departamento de Dirección y Economía de la Empresa, Universidad de León, 24071 León, Spain
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Received: 8 August 2018 / Revised: 25 September 2018 / Accepted: 26 September 2018 / Published: 30 September 2018
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Abstract

The aim of this paper is to analyze the relation between maturity structure, sovereign bond yields and sovereign risk in the Economic and Monetary Union for the period of 1990–2013. The results confirm the existence of an inverse relationship between sovereign bond yields, sovereign risk and the maturity structure of sovereign debt, regardless of the proxy that is used to measure sovereign risk and the time variance of the variables employed. The results indicate that risk shortens the maturity structure of sovereign debt because it reduces the stock of long-term debt. The relationship between maturity structure and sovereign bond yields differs depending on the risk of the countries analyzed (non-monotonic relationship) and the differences between peripheral and core countries are greater for higher levels of the yields. If we control for the indebtedness level of these countries, the results show that the relationship between the sovereign bond yields and maturity strengthens as the debt level increases. View Full-Text
Keywords: maturity structure; sovereign risk; debt maturity; sovereign debt market maturity structure; sovereign risk; debt maturity; sovereign debt market
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González-Fernández, M.; González-Velasco, C. Bond Yields, Sovereign Risk and Maturity Structure. Risks 2018, 6, 109.

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