{"status":"ok","message-type":"work","message-version":"1.0.0","message":{"indexed":{"date-parts":[[2026,3,25]],"date-time":"2026-03-25T19:48:12Z","timestamp":1774468092903,"version":"3.50.1"},"reference-count":40,"publisher":"Springer Science and Business Media LLC","issue":"4","license":[{"start":{"date-parts":[[2022,8,12]],"date-time":"2022-08-12T00:00:00Z","timestamp":1660262400000},"content-version":"tdm","delay-in-days":0,"URL":"https:\/\/www.springernature.com\/gp\/researchers\/text-and-data-mining"},{"start":{"date-parts":[[2022,8,12]],"date-time":"2022-08-12T00:00:00Z","timestamp":1660262400000},"content-version":"vor","delay-in-days":0,"URL":"https:\/\/www.springernature.com\/gp\/researchers\/text-and-data-mining"}],"content-domain":{"domain":["link.springer.com"],"crossmark-restriction":false},"short-container-title":["Empirica"],"published-print":{"date-parts":[[2022,11]]},"DOI":"10.1007\/s10663-022-09547-8","type":"journal-article","created":{"date-parts":[[2022,8,12]],"date-time":"2022-08-12T16:02:52Z","timestamp":1660320172000},"page":"1089-1122","update-policy":"https:\/\/doi.org\/10.1007\/springer_crossmark_policy","source":"Crossref","is-referenced-by-count":4,"title":["Dynamics of the public-debt-to-gdp ratio: can it explain the risk premium of treasury bonds?"],"prefix":"10.1007","volume":"49","author":[{"given":"S\u00e9rgio C.","family":"Lagoa","sequence":"first","affiliation":[]},{"ORCID":"https:\/\/orcid.org\/0000-0002-9586-7365","authenticated-orcid":false,"given":"Emanuel R.","family":"Le\u00e3o","sequence":"additional","affiliation":[]},{"given":"Diptes P.","family":"Bhimjee","sequence":"additional","affiliation":[]}],"member":"297","published-online":{"date-parts":[[2022,8,12]]},"reference":[{"key":"9547_CR1","doi-asserted-by":"crossref","unstructured":"A\u03b2mann C, Boysen-Hogrefe J (2012) Determinants of government bond spreads in the euro area: in good times as in bad. Empirica 39:341\u2013356","DOI":"10.1007\/s10663-011-9171-6"},{"issue":"1","key":"9547_CR2","first-page":"367","volume":"31","author":"A Afonso","year":"2011","unstructured":"Afonso A, Rault C (2011) Long-run determinants of sovereign yields. Econ Bull 31(1):367\u2013374","journal-title":"Econ Bull"},{"key":"9547_CR3","doi-asserted-by":"crossref","unstructured":"Afonso A, Arghyrou MG, Kontonikas A (2015) The determinants of sovereign bond yield spreads in the EMU. Working Paper 1781, Working Paper Series, European Central Bank","DOI":"10.2139\/ssrn.2611958"},{"key":"9547_CR4","doi-asserted-by":"crossref","unstructured":"Afonso A, Furceri D , Gomes P (2011) Sovereign credit ratings and financial market linkages: application to European data. Working Paper 1347, Working Paper Series, European Central Bank","DOI":"10.2139\/ssrn.1847505"},{"key":"9547_CR5","unstructured":"Afonso A, Verdial N (2019) Sovereign debt crisis in Portugal and Spain. REM Working Paper 112-2019, December. https:\/\/www.econstor.eu\/bitstream\/10419\/219502\/1\/econpol-wp-40.pdf"},{"key":"9547_CR6","doi-asserted-by":"publisher","first-page":"37","DOI":"10.1016\/j.jimonfin.2012.11.011","volume":"34","author":"J Aizenman","year":"2013","unstructured":"Aizenman J, Hutchison M, Jinjarak Y (2013) What is the risk of European sovereign debt defaults? Fiscal space, CDS spreads and market pricing of risk. J Int Money Financ 34:37\u201359","journal-title":"J Int Money Financ"},{"key":"9547_CR7","doi-asserted-by":"publisher","first-page":"658","DOI":"10.1016\/j.intfin.2012.03.003","volume":"22","author":"M Arghyrou","year":"2012","unstructured":"Arghyrou M, Kontonikas A (2012) The EMU sovereign-debt crisis: fundamentals, expectations and contagion. J Int Financ Mark Inst Money 22:658\u2013677","journal-title":"J Int Financ Mark Inst Money"},{"key":"9547_CR8","doi-asserted-by":"crossref","unstructured":"Attinasi M-G, Checherita C, Nickel C (2009) What explains the surge in euro area sovereign spreads during the financial crisis of 2007-2009? Working Paper 1131, Working Paper Series, European Central Bank","DOI":"10.2139\/ssrn.1520351"},{"key":"9547_CR9","doi-asserted-by":"crossref","unstructured":"Baldacci E, Kumar M (2010) Fiscal deficits, public debt and sovereign bond yields. International Monetary Fund Working Paper WP\/10\/184","DOI":"10.5089\/9781455202188.001"},{"key":"9547_CR10","doi-asserted-by":"publisher","first-page":"331","DOI":"10.1007\/s12197-008-9029-3","volume":"33","author":"F Balli","year":"2009","unstructured":"Balli F (2009) Spillover effects on government bond yields in euro zone: does full financial integration exist in European government bond markets? J Econ Financ 33:331\u2013363","journal-title":"J Econ Financ"},{"key":"9547_CR11","unstructured":"Barbosa L, Costa S (2010) Determinants of sovereign bond yield spreads in the euro area in the context of the economic and financial crisis. Economic Bulletin and Financial Stability Report Articles and Banco de Portugal Economic Studies"},{"key":"9547_CR12","unstructured":"Barrios S, Iversen P, Lewandowska M, Setzer R (2009) Determinants of intra-Euro area government bond spreads during the financial crisis. Economic Paper 388. Directorate-General for Economic and Financial Affairs, European Commission"},{"issue":"3","key":"9547_CR13","doi-asserted-by":"publisher","first-page":"925","DOI":"10.1093\/rfs\/hhm088","volume":"22","author":"A Beber","year":"2009","unstructured":"Beber A, Brandt MW, Kavajecz KA (2009) Flight-to-quality or flight-to-liquidity? Evidence from the euro area bond market. Rev Financ Stud 22(3):925\u2013957","journal-title":"Rev Financ Stud"},{"issue":"3","key":"9547_CR14","doi-asserted-by":"publisher","first-page":"639","DOI":"10.1016\/j.jimonfin.2011.10.006","volume":"31","author":"K Bernoth","year":"2012","unstructured":"Bernoth K, Erdogan B (2012) Sovereign bond yield spreads: a time-varying coefficients approach. J Int Money Financ 31(3):639\u2013656","journal-title":"J Int Money Financ"},{"key":"9547_CR15","doi-asserted-by":"publisher","first-page":"389","DOI":"10.1016\/j.euroecorev.2011.11.001","volume":"56","author":"H Bi","year":"2012","unstructured":"Bi H (2012) Sovereign default risk premia, fiscal limits, and fiscal policy. Eur Econ Rev 56:389\u2013410","journal-title":"Eur Econ Rev"},{"key":"9547_CR16","unstructured":"Blanchard OJ (1990) Suggestions for a new set of fiscal indicators. OECD Economics Department Working Papers 79"},{"issue":"4","key":"9547_CR17","doi-asserted-by":"publisher","first-page":"1197","DOI":"10.1257\/aer.109.4.1197","volume":"109","author":"OJ Blanchard","year":"2019","unstructured":"Blanchard OJ (2019) Public debt and low interest rates. Am Econ Rev 109(4):1197\u20131229","journal-title":"Am Econ Rev"},{"key":"9547_CR18","doi-asserted-by":"publisher","first-page":"774","DOI":"10.1016\/j.econlet.2012.08.041","volume":"117","author":"G Caggiano","year":"2012","unstructured":"Caggiano G, Greco L (2012) Fiscal and financial determinants of Eurozone sovereign spreads. Econ Lett 117:774\u2013776","journal-title":"Econ Lett"},{"key":"9547_CR19","doi-asserted-by":"publisher","first-page":"503","DOI":"10.1111\/1468-0327.00114_1","volume":"18","author":"L Codogno","year":"2003","unstructured":"Codogno L, Favero C, Missale A (2003) Yield spreads on EMU government bonds. Econ Policy 18:503\u2013532","journal-title":"Econ Policy"},{"key":"9547_CR20","doi-asserted-by":"publisher","first-page":"337","DOI":"10.1016\/j.euroecorev.2014.06.004","volume":"70","author":"M Costantini","year":"2014","unstructured":"Costantini M, Fragetta M, Melina G (2014) Determinants of sovereign bond yield spreads in the EMU: an optimal currency area perspective. Eur Econ Rev 70:337\u2013349","journal-title":"Eur Econ Rev"},{"issue":"4","key":"9547_CR21","doi-asserted-by":"publisher","first-page":"147","DOI":"10.1257\/jep.32.4.147","volume":"32","author":"G Dell\u2019Ariccia","year":"2018","unstructured":"Dell\u2019Ariccia G, Rabanal P, Sandri D (2018) Unconventional monetary policies in the Euro Area, Japan, and the United Kingdom. J Econ Perspect 32(4):147\u2013172","journal-title":"J Econ Perspect"},{"issue":"1","key":"9547_CR23","doi-asserted-by":"publisher","first-page":"107","DOI":"10.1017\/S0022109009990494","volume":"45","author":"C Favero","year":"2010","unstructured":"Favero C, Pagano M, von Thadden E-L (2010) How does liquidity affect government bond yields? J Financ Quant Anal 45(1):107\u2013134","journal-title":"J Financ Quant Anal"},{"key":"9547_CR24","doi-asserted-by":"publisher","first-page":"30","DOI":"10.1016\/j.econmod.2017.05.013","volume":"66","author":"J-M Fournier","year":"2017","unstructured":"Fournier J-M, Fall F (2017) Limits to government debt sustainability in OECD countries. Econ Modell 66:30\u201341","journal-title":"Econ Modell"},{"key":"9547_CR25","doi-asserted-by":"publisher","first-page":"F4","DOI":"10.1111\/ecoj.12010","volume":"123","author":"AR Ghosh","year":"2013","unstructured":"Ghosh AR, Kim JI, Mendoza EG, Ostry JD, Qureshi MS (2013) Fiscal fatigue, fiscal space and debt sustainability in advanced economies. Econ J 123:F4\u2013F30","journal-title":"Econ J"},{"key":"9547_CR26","doi-asserted-by":"crossref","unstructured":"Giordano L, Linciano N, Soccorso P (2012) The determinants of government yield spreads in the euro area. Quaderni di Finanza 71:CONSOB","DOI":"10.2139\/ssrn.2158709"},{"key":"9547_CR27","doi-asserted-by":"publisher","first-page":"470","DOI":"10.1016\/j.iref.2017.07.008","volume":"51","author":"M G\u00f3mez-Puig","year":"2017","unstructured":"G\u00f3mez-Puig M, Sosvilla-Rivero S (2017) Heterogeneity in the debt-growth nexus: evidence from EMU countries. Int Rev Econ Financ 51:470\u2013486","journal-title":"Int Rev Econ Financ"},{"key":"9547_CR28","doi-asserted-by":"publisher","first-page":"345","DOI":"10.1016\/S0304-4076(99)00025-1","volume":"93","author":"BE Hansen","year":"1999","unstructured":"Hansen BE (1999) Threshold effects in non-dynamic panels: estimation, testing, and inference. J Econom 93:345\u2013368","journal-title":"J Econom"},{"key":"9547_CR29","unstructured":"Haugh D, Ollivaud P, Turner D (2009) What drives sovereign risk premiums? An analysis of recent evidence from the Euro Area. OECD Economics Department, Working Papers, No 718"},{"key":"9547_CR30","doi-asserted-by":"publisher","first-page":"439","DOI":"10.1016\/S0169-2070(01)00110-8","volume":"18","author":"Rob J Hyndman","year":"2002","unstructured":"Hyndman Rob J, Koehler Anne B, Snyder Ralph D, Grose Simone (2002) A state space framework for automatic forecasting using exponential smoothing methods. Int J Forecast 18:439\u2013454","journal-title":"Int J Forecast"},{"key":"9547_CR31","doi-asserted-by":"publisher","first-page":"44","DOI":"10.1016\/j.japwor.2015.04.001","volume":"34\u201335","author":"H Ichiue","year":"2015","unstructured":"Ichiue H, Shimizu Y (2015) Determinants of long-term yields: a panel data analysis of major countries. Jpn World Econ 34\u201335:44\u201355","journal-title":"Jpn World Econ"},{"key":"9547_CR32","first-page":"200","volume":"Q3","author":"M Joyce","year":"2011","unstructured":"Joyce M, Tong M, Woods R (2011) The United Kingdom\u2019s quantitative easing policy: design, operation and impact. Bank Engl Q Bull Q3:200\u2013212","journal-title":"Bank Engl Q Bull"},{"issue":"3","key":"9547_CR33","doi-asserted-by":"publisher","first-page":"49","DOI":"10.1257\/jep.26.3.49","volume":"26","author":"PR Lane","year":"2012","unstructured":"Lane PR (2012) The European sovereign debt crisis. J Econ Perspect 26(3):49\u201368","journal-title":"J Econ Perspect"},{"key":"9547_CR34","doi-asserted-by":"publisher","first-page":"191","DOI":"10.1111\/j.1468-0327.2009.00220.x","volume":"58","author":"S Manganelli","year":"2009","unstructured":"Manganelli S, Wolswijk G (2009) What drives spreads in the Euro Area government bond market? Econ Policy 58:191\u2013240","journal-title":"Econ Policy"},{"issue":"1","key":"9547_CR35","doi-asserted-by":"publisher","first-page":"100","DOI":"10.1016\/j.ecosys.2013.07.008","volume":"38","author":"T Poghosyan","year":"2014","unstructured":"Poghosyan T (2014) Long-run and short-run determinants of sovereign bond yields in advanced economies. Econ Syst 38(1):100\u2013114","journal-title":"Econ Syst"},{"key":"9547_CR36","doi-asserted-by":"crossref","unstructured":"Rafiq S (2015) How important are debt and growth expectations for interest rates? International Monetary Fund Working Paper WP\/15\/94","DOI":"10.5089\/9781484358603.001"},{"key":"9547_CR37","doi-asserted-by":"publisher","first-page":"573","DOI":"10.1257\/aer.100.2.573","volume":"100","author":"R Reinhart","year":"2010","unstructured":"Reinhart R, Rogoff K (2010) Growth in a time of debt. Am Econ Rev 100:573\u2013578","journal-title":"Am Econ Rev"},{"key":"9547_CR38","doi-asserted-by":"crossref","unstructured":"Sgherri S , Zoli E (2009) Euro area sovereign risk during the crisis. International Monetary Fund Working Paper WP\/09\/222, International Monetary Fund","DOI":"10.5089\/9781451873696.001"},{"issue":"38","key":"9547_CR39","doi-asserted-by":"publisher","first-page":"3782","DOI":"10.1080\/00036846.2016.1267851","volume":"49","author":"T Stamatopoulos","year":"2017","unstructured":"Stamatopoulos T, Arvanitis S, Terzakis D (2017) The risk of sovereign default: the Eurozone crisis 2008\u20132013. Appl Econ 49(38):3782\u20133796","journal-title":"Appl Econ"},{"issue":"16","key":"9547_CR40","doi-asserted-by":"publisher","first-page":"1166","DOI":"10.1080\/13504851.2017.1403555","volume":"25","author":"M Van Der Heijden","year":"2018","unstructured":"Van Der Heijden M, Beetsma R, Romp W (2018) \u201cWhatever it takes\u2019\u2019 and the role of Eurozone news. Appl Econ Lett 25(16):1166\u20131169","journal-title":"Appl Econ Lett"},{"issue":"1","key":"9547_CR41","doi-asserted-by":"publisher","first-page":"121","DOI":"10.1177\/1536867X1501500108","volume":"13","author":"Q Wang","year":"2015","unstructured":"Wang Q (2015) Fixed-effect panel threshold model using Stata. Stata J 13(1):121\u2013134","journal-title":"Stata J"}],"container-title":["Empirica"],"original-title":[],"language":"en","link":[{"URL":"https:\/\/link.springer.com\/content\/pdf\/10.1007\/s10663-022-09547-8.pdf","content-type":"application\/pdf","content-version":"vor","intended-application":"text-mining"},{"URL":"https:\/\/link.springer.com\/article\/10.1007\/s10663-022-09547-8\/fulltext.html","content-type":"text\/html","content-version":"vor","intended-application":"text-mining"},{"URL":"https:\/\/link.springer.com\/content\/pdf\/10.1007\/s10663-022-09547-8.pdf","content-type":"application\/pdf","content-version":"vor","intended-application":"similarity-checking"}],"deposited":{"date-parts":[[2025,4,9]],"date-time":"2025-04-09T13:12:19Z","timestamp":1744204339000},"score":1,"resource":{"primary":{"URL":"https:\/\/link.springer.com\/10.1007\/s10663-022-09547-8"}},"subtitle":[],"short-title":[],"issued":{"date-parts":[[2022,8,12]]},"references-count":40,"journal-issue":{"issue":"4","published-print":{"date-parts":[[2022,11]]}},"alternative-id":["9547"],"URL":"https:\/\/doi.org\/10.1007\/s10663-022-09547-8","relation":{},"ISSN":["0340-8744","1573-6911"],"issn-type":[{"value":"0340-8744","type":"print"},{"value":"1573-6911","type":"electronic"}],"subject":[],"published":{"date-parts":[[2022,8,12]]},"assertion":[{"value":"20 June 2022","order":1,"name":"accepted","label":"Accepted","group":{"name":"ArticleHistory","label":"Article History"}},{"value":"12 August 2022","order":2,"name":"first_online","label":"First Online","group":{"name":"ArticleHistory","label":"Article History"}}]}}