02332cas a2200265 a 4500 AALejournalIMF006443 230101c9999 xx r poo 0 0eng d 5.00 USD 9781455200795 1018-5941 BD-DhAAL BD-DhAAL Segoviano, Miguel. Sovereign Spreads : Global Risk Aversion, Contagion or Fundamentals? / Miguel Segoviano, Carlos Caceres, Vincenzo Guzzo. Washington, D.C. : International Monetary Fund, 2010. 1 online resource (29 pages) IMF Working Papers <strong>Off-Campus Access:</strong> No User ID or Password Required <strong>On-Campus Access:</strong> No User ID or Password Required Electronic access restricted to authorized BRAC University faculty, staff and students Over the past year, euro area sovereign spreads have exhibited an unprecedented degree of volatility. This paper explores how much of these large movements reflected shifts in (i) global risk aversion (ii) country-specific risks, directly from worsening fundamentals, or indirectly from spillovers originating in other sovereigns. The analysis shows that earlier in the crisis, the surge in global risk aversion was a significant factor influencing sovereign spreads, while recently country-specific factors have started playing a more important role. The perceived source of contagion itself has changed: previously, it could be found among those sovereigns hit hard by the financial crisis, such as Austria, the Netherlands, and Ireland, whereas lately the countries putting pressure on euro area government bonds have been primarily Greece, Portugal, and Spain, as the emphasis has shifted towards short-term refinancing risk and long-term fiscal sustainability. The paper concludes that debt sustainability and appropriate management of sovereign balance sheets are necessary conditions for preventing sovereign risk from feeding back into broader financial stability concerns. Mode of access: Internet Caceres, Carlos. Guzzo, Vincenzo. IMF Working Papers; Working Paper ; No. 2010/120 Full text available on IMF http://elibrary.imf.org/view/journals/001/2010/120/001.2010.issue-120-en.xml IMF e-Library