The pricing of G7 sovereign bond spreads – the times, they are a-changin

摘要: Abstract Against the background of current debate about fiscal sustainability in several advanced economies, this paper estimates determinants G7 sovereign bond spreads, using high-frequency proxies for market expectations macroeconomic fundamentals and allowing time-varying parameters. The finds substantial asymmetry importance country considerable time variations pricing risks. There has been a reduced risk factors years preceding financial crisis, either an over-pricing or re-denomination euro area bonds during European debt pattern that does not apply to non-euro bonds.