Determinants of the Portuguese government bond yield spread

Detalhes bibliográficos
Autor(a) principal: Rosa, João Daniel Esteves
Data de Publicação: 2014
Tipo de documento: Dissertação
Idioma: eng
Título da fonte: Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos)
Texto Completo: http://hdl.handle.net/10362/11711
Resumo: A Work Project, presented as part of the requirements for the Award of a Masters Degree in Finance from the NOVA – School of Business and Economics
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spelling Determinants of the Portuguese government bond yield spreadYield spreadFundamentalsContagionA Work Project, presented as part of the requirements for the Award of a Masters Degree in Finance from the NOVA – School of Business and EconomicsThis paper seeks to find out the determinants of the 10 year Portuguese government bond yield spread for the period between the January of 2010 and December of 2012. Fundamental factors (debt ratio and government balance in % of GDP) and contagion effects are the main drivers behind the surge of the yield spread during the first two years of the sample. Liquidity risk (measured by the bid-ask spread) and the size of the banking system are also significant determinants. These same factors however, have no significance in explaining the drop in the yield spread during the final seven months of the sample.NSBE - UNLNunes, Luís CatelaRUNRosa, João Daniel Esteves2014-03-19T10:05:57Z2014-012014-01-01T00:00:00Zinfo:eu-repo/semantics/publishedVersioninfo:eu-repo/semantics/masterThesisapplication/pdfhttp://hdl.handle.net/10362/11711TID:201474620enginfo:eu-repo/semantics/openAccessreponame:Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos)instname:Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informaçãoinstacron:RCAAP2024-03-11T03:46:20Zoai:run.unl.pt:10362/11711Portal AgregadorONGhttps://www.rcaap.pt/oai/openaireopendoar:71602024-03-20T03:20:29.419700Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos) - Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informaçãofalse
dc.title.none.fl_str_mv Determinants of the Portuguese government bond yield spread
title Determinants of the Portuguese government bond yield spread
spellingShingle Determinants of the Portuguese government bond yield spread
Rosa, João Daniel Esteves
Yield spread
Fundamentals
Contagion
title_short Determinants of the Portuguese government bond yield spread
title_full Determinants of the Portuguese government bond yield spread
title_fullStr Determinants of the Portuguese government bond yield spread
title_full_unstemmed Determinants of the Portuguese government bond yield spread
title_sort Determinants of the Portuguese government bond yield spread
author Rosa, João Daniel Esteves
author_facet Rosa, João Daniel Esteves
author_role author
dc.contributor.none.fl_str_mv Nunes, Luís Catela
RUN
dc.contributor.author.fl_str_mv Rosa, João Daniel Esteves
dc.subject.por.fl_str_mv Yield spread
Fundamentals
Contagion
topic Yield spread
Fundamentals
Contagion
description A Work Project, presented as part of the requirements for the Award of a Masters Degree in Finance from the NOVA – School of Business and Economics
publishDate 2014
dc.date.none.fl_str_mv 2014-03-19T10:05:57Z
2014-01
2014-01-01T00:00:00Z
dc.type.status.fl_str_mv info:eu-repo/semantics/publishedVersion
dc.type.driver.fl_str_mv info:eu-repo/semantics/masterThesis
format masterThesis
status_str publishedVersion
dc.identifier.uri.fl_str_mv http://hdl.handle.net/10362/11711
TID:201474620
url http://hdl.handle.net/10362/11711
identifier_str_mv TID:201474620
dc.language.iso.fl_str_mv eng
language eng
dc.rights.driver.fl_str_mv info:eu-repo/semantics/openAccess
eu_rights_str_mv openAccess
dc.format.none.fl_str_mv application/pdf
dc.publisher.none.fl_str_mv NSBE - UNL
publisher.none.fl_str_mv NSBE - UNL
dc.source.none.fl_str_mv reponame:Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos)
instname:Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informação
instacron:RCAAP
instname_str Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informação
instacron_str RCAAP
institution RCAAP
reponame_str Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos)
collection Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos)
repository.name.fl_str_mv Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos) - Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informação
repository.mail.fl_str_mv
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