Skip to main content
Login | Suomeksi | På svenska | In English

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

Show full item record

Title: Determinants of Finland-Sweden bond yield spread during 1995-2013
Author(s): Kinnunen, Aleksi
Contributor: University of Helsinki, Faculty of Social Sciences, Department of Political and Economic Studies
Discipline: Economics
Language: English
Acceptance year: 2015
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.

Files in this item

Files Size Format View
Kinnunen_Taloustiede.pdf 1021.Kb PDF

This item appears in the following Collection(s)

Show full item record