Caggiano G., Greco L. (2012).

Fiscal and Financial Determinants of Eurozone Sovereign Spreads. Marco Fanno Working Paper n.148-2012.



The relationship between fiscal and financial euro area indicators and sovereign yield spreads has changed after the start of the financial crisis. Increased financial volatility has magnified the impact of fiscal conditions as drivers of sovereign risk, has widened the set of macroeconomic determinants, and has caused substantial interactions between fiscal and financial variables.