Determinants of Finland-Sweden bond yield spread during 1995-2013

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http://urn.fi/URN:NBN:fi:hulib-201703273189
Julkaisun nimi: Determinants of Finland-Sweden bond yield spread during 1995-2013
Tekijä: Kinnunen, Aleksi
Muu tekijä: Helsingin yliopisto, Valtiotieteellinen tiedekunta, Politiikan ja talouden tutkimuksen laitos
University of Helsinki, Faculty of Social Sciences, Department of Political and Economic Studies
Helsingfors universitet, Statsvetenskapliga fakulteten, Institutionen för politik och ekonomi
Julkaisija: Helsingfors universitet
Päiväys: 2015
Kieli: eng
URI: http://urn.fi/URN:NBN:fi:hulib-201703273189
http://hdl.handle.net/10138/155273
Opinnäytteen taso: pro gradu -tutkielmat
Oppiaine: Economics
Taloustiede
Ekonomi
Tiivistelmä: In this thesis, I study the determinants of Finland-Sweden bond yield spread during 1995-2013 by using the Ordinary Least Squares (OLS) approach. I form different regression models, where Finland-Sweden 10-year bond yield spread is dependent variable and variables, based on the bond pricing theory, are explanatory variables. In addition to the regression analysis, I conduct a plot analysis, in which I aim to study whether there are any certain events that may have affected the bond yield spread. The idea behind the plot analysis is that the EMU membership of Finland may have increased the bond yield spread, mainly due to the lack of a lender of last resort. The results from the regression analysis suggest that risk aversion was possibly an important determinant of Finland-Sweden bond yield spread developments during the crisis period 07/2007-12/2013. The risk aversion was measured by the VIX-index. The study also finds some support that other things rather than country specific fiscal fundamentals where driving the bond yield spread during 01/1995-12/2013. The plot analysis results suggest that It is possible that the convergence of bond yields across euro countries and Sweden, were one reason for bond yield spread developments before the crisis period. The results also show that the announcement of the new European Central Bank`s Outright Monetary Transactions (OMT) program in 2012, likely started the fall in the bond yield spread. In addition, during the crisis period, Finland`s bond yield may have benefited from the global risk aversion but not as much as Germany and Sweden.


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