Bo ey-Fulla , Ma ia; Ma ín-Palacios, C is ina; Ga cia-Doncel, Jesús Ga cia
A icle
So e eign isk p emium and mac oeconomy: Causal
ela ionship
Con empo a y Economics
P o ided in Coope a ion wi h:
VIZJA Uni e si y, Wa saw
Sugges ed Ci a ion: Bo ey-Fulla , Ma ia; Ma ín-Palacios, C is ina; Ga cia-Doncel, Jesús Ga cia (2025) :
So e eign isk p emium and mac oeconomy: Causal ela ionship, Con empo a y Economics, ISSN
2300-8814, Uni e si y o Economics and Human Sciences in Wa saw, Wa saw, Vol. 19, Iss. 1, pp.
18-45,
h ps://doi.o g/10.5709/ce.1897-9254.552
This Ve sion is a ailable a :
h ps://hdl.handle.ne /10419/315384
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This wo k is licensed unde a C ea i e Commons A ibu ion 4.0 In e na ional License.
In ecen yea s, because o he 2008 inancial c isis and he e olu ion o he so e eign deb ma ke s, he e has
been a signi ican inc ease in in e es in unde s anding he ac o s ha de e mine he isk p emium, becoming
a key indica o o he inancial s abili y o coun ies, and a measu e o he isk assumed by in es o s who buy
in a coun y's bonds o sha es and o hose esponsible o he mone a y policy. The aim o his s udy is o
iden i y he possible causal ela ionships be ween he isk p emium and a ious mac oeconomic a iables, as
well as ex e nal ac o s ha could in luence i s e olu ion. To do his, sou ces o economic- inancial in o ma ion
based on mon hly da a co e ing he pe iod om 2004 o 2022 a e used. The me hodology used ocuses on
he es ima ion o VAR (Au o eg essi e Vec o s) models, which allows examining he dynamic in e ac ion and
causali y be ween mul iple a iables. These models a e sui able o s udying he in e dependence and mu-
ual in luence be ween he a iables conside ed. The esul s ob ained show ha , al hough he isk p emium
has an au o eg essi e end, he e a e o he mac oeconomic a iables, such as he mone a y agg ega e M1,
he bank de aul a e and he unemploymen a e, which play a signi ican ole in i s beha io . Likewise, i is
obse ed ha ex e nal ac o s, such as he exchange a e o ola ili y index, also exe a signi ican in luence
on he isk p emium.
1. In oduc ion1. In oduc ion
In ecen yea s and since he 2008 inancial c isis,
he so e eign isk p emium has become popula in
socie y due o i s impac on he economy and i-
nancial ma ke s. Also, nume ous esea che s ha e
add essed i s s udy and con ibu ed o make i a
con inuously opical issue (Co adin e al., 2021;
Dahlquis & Hassel o , 2013; Fa e o & Missale,
2012; K ishnamu hy e al., 2018; Liu & Huang,
2022; Manganelli & Wolswijk, 2009).
F om a concep ual poin o iew, he isk p e-
mium is a e m ha es ima es he isk o in es ing
in a inancial asse , so he highe he p emium, he
highe he isk in ol ed in ha in es men . This
concep e lec s he addi ional cos ha an issue o
a inancial asse has wi h espec o ano he con-
side ed as a e e ence, a di e en ial ha is due o
he highe p o i abili y equi ed when one wishes o
in es in isky asse s (Tkalec e al., 2014).
Likewise, o in es men s in so e eign public
deb , he isk p emium measu es he con idence/
So e eign Risk P emium and Mac oeconomy:
Causal Rela ionship
ABSTRACT
E43, E44, E62, G12
KEY WORDS:
JEL Classi ica ion:
isk p emium, so e eign bond, iscal policy, mone a y policy, public indeb edness, VAR-model.
ESIC Uni e si y, Mad id, Spain
Co espondence conce ning his a icle should be add essed o:
C is ina Ma ín-Palacios,
ESIC Uni e si y, Camino de Valdenig ia-
les, S/N, 28223 Pozuelo de Ala cón, Mad id, Spain
E-mail: [email p o ec ed]
Ma ia Bo ey-Fulla , C is ina Ma ín-Palacios , Jesús Ga cia Ga cia-Doncel
P ima y submission: 12.08.2024 | Final accep ance: 27.11.2024
19
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10.5709/ce.1897-9254.552DOI: CONTEMPORARY ECONOMICS
Vol. 19 Issue 1 18-452025
dis us ha in es o s ha e in he economy o a gi en
coun y, being conside ed an indica o o i s sol ency
and inancial s abili y (A onso e al., 2015). Speci i-
cally, Spain's isk p emium is de e mined as he di -
e ence be ween he yield o he Spanish en-yea
so e eign bond and he yield o he Ge man bond o
he same ma u i y, conside ed as a e e ence o i s se-
cu i y and gua an ee.
Howe e , he e is no doub ha since he begin-
ning o his cen u y Spain's so e eign isk p emium
has been signi ican ly in luenced by he c ea ion o
he Economic and Mone a y Union (EMU), one o
he mos impo an e en s in Eu opean economic
his o y a he end o he las cen u y and he esul
o ag eemen s on economic and iscal policies ha
sough economic cohesion and solida i y among EU
coun ies (Lane, 2012).
The epe cussions o some o he decisions adop ed
a i s c ea ion on he isk p emium make i con enien
o men ion some o he ag eemen s ha we e es ab-
lished in he de elopmen o he Eu ozone. Thus, he
p ocess o c ea ion ook place in h ee phases (De-
lo s Repo , June 1988) and possibly one o he mos
ele an e en s o he i s phase was he adop ion
o he T ea y on Eu opean Union, which es ablished
he con e gence c i e ia ela ed o p ice s abili y, ex-
change a es, in e es a es and go e nmen inances
(Maas ich , Feb ua y 1992).
The second phase was cha ac e ized by ac ions ha
ad anced in his in eg a ion, ag eemen s we e eached
such as he c ea ion o he Eu opean Mone a y Ins i-
u e (EMI) in 1994, p ecu so o he Eu opean Cen al
Bank (ECB) o he es ablishmen o he
S abili y and G ow h Pac (June 1997, e o med in
2005 and 2011) whe e he S a es unde ook o comply
wi h de ici and deb condi ions (de ici /GDP a io
below 3% and deb /GDP a io below 60%) aimed a
gua an eeing budge a y discipline o main ain sound
inances. Howe e , he end o his phase was ma ked
by some impo an decisions such as he c ea ion o
he ECB o he ele en S a es, including Spain, which
ini ially ul illed he condi ions o pa icipa ing in he
hi d phase o EMU, join ly cons i u ing he Eu osys-
em.
The hi d phase in ol ed he launching o EMU in
Janua y 1999, wi h signi ican ag eemen s such as he
adop ion o he single cu ency, he i e ocable ixing
o he exchange a es o he cu encies o he ele en
membe coun ies and he beginning o he imple-
men a ion o he single mone a y policy unde he
esponsibili y o he ECB.
In sho , he c ea ion o he Eu ozone has b ough
ad an ages o he Membe S a es by ac ing as a sa e-
gua d agains u bulence o isks a ce ain imes, has
made i possible o de ine a common mone a y policy
and has inc eased in e dependence be ween Eu ope-
an economies (Eu opean Commission, 2010)
In his con ex , Spain's en y in o he eu o led o a
p og essi e dec ease in he isk p emium and o i s
being placed on a pa wi h Ge man deb , conside ed
a benchma k o i s sa e y, so ha he p o ec ion o -
e ed by Ge many in pa icula and he Eu osys em in
gene al o he weakes coun ies was a gua an ee o
he ma ke s, un il he 2008 c isis and he subsequen
ou b eak o he Eu opean deb c isis in 2010.
The aim o his pape is o iden i y he a iables ha
can in luence Spain's isk p emium. The de e mina-
ion o he isk p emium as he sp ead be ween he
yield o he Spanish so e eign bond and he Ge man
bond o he same ma u i y is a p ocedu e ha does
no espond o he causes ha can a ec i s alue and,
he e o e, i has a oused in e es i he isk p emium
can be es ima ed empi ically.
And, despi e he exis ence o wo ks ha add ess
his s udy, he e is no clea e idence on he causes ha
a ec he le el o he isk p emium (Alqa alleh, 2024;
Bouke & Mansou i, 2022; Cakici, 2024; Codogno
e al., 2003; Fa e o e al., 2005; Haugh e al., 2009).
Mo eo e , he e a e ew s udies applied o Spain and,
as Ga cía & We ne (2016) poin ou , he a iables
ha can in luence he isk p emium may a y de-
pending on nume ous ac o s, including he coun y.
The e o e, his esea ch di e s om p e ious wo ks
because i is applied o Spain, he ou h Eu opean
economy, wi h ew s udies and which has expe ienced
e y acu e c ises
in i s economic and inancial en i onmen in e-
cen yea s, and because o he mac oeconomic con ex
conside ed, in he sense o he a iables used and he
ime equency o he in o ma ion.
Consequen ly, he con ibu ion o his esea ch o-
cuses on iden i ying whe he he e a e mac oeconom-
ic a iables causing a ia ions in he so e eign isk
p emium. The aim o his s udy is o analyze he possi-
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So e eign Risk P emium and Mac oeconomy: Causal Rela ionship
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ble impac , in e ela ionships and ansmission mech-
anisms o he a iables s udied, which a e impo an
o expe imen ally de e mine whe he he luc ua ions
in he isk p emium a e a ibu able o changes in
he Spanish mac oeconomic en i onmen . Iden i y-
ing he mac oeconomic a iables ha a ec he isk
p emium is impo an o nume ous easons. On he
one hand, he so e eign isk p emium is an indica o
ha in o ms us abou he p obabili y ha a coun y
will mee i s inancial obliga ions a ec ing economic
s abili y and sol ency, his in o ma ion models he
pe cep ion ha in es o s ha e o he coun y a ec ing
hei decisions o whe e o place hei capi al. On he
o he hand, i changes in mac oeconomic a iables
we e o a ec he isk p emium in a delayed manne ,
his would allow us o an icipa e isk p emium alues
and would o e a g ea ad an age o in es o s. This
in o ma ion would also be aluable o go e nmen s
since hey could a oid u he indeb edness h ough
changes in hei mac oeconomic policy.
In addi ion, his esea ch inco po a es in o ma-
ion on si ua ions ha a e e y di e en om hose
ha de ine he economic and poli ical en i onmen o
o he p e ious s udies. I analyzes a pe iod wi h ecen
e en s ha add mo e unce ain y in an economic ou -
look cha ac e ized by a pe cep ible economic slow-
down in Spain.
Some e en s ha e had a s ong impac on he Span-
ish economy in he pe iod s udied. Thus, in 2019,
he heal h c isis caused by he COVID-19 pandemic
was e y p onounced in Spain due o he s ic long-
e m con inemen , a ec ing sec o s ha we e highly
exposed o es ic ions, such as ou ism, hospi ali y
and comme ce, and small businesses mo e se e ely
(Ál a ez Rod íguez e al., 2022). The ollowing yea ,
in 2020, he geopoli ical and economic ami ica ions
o B exi p oduced bad economic e ec s in Spain,
ac i i y in expo ing o impo ing companies was
educed and he labou ma ke declined (Naza czuk
e al., 2020). A e se e al yea s o inc easing public
deb , in 2021 and 2022, he Eu opean Cen al Bank's
(ECB) mone a y policy adjus men s, such as he ne
cessa ion o pu chases (Go e nmen P ocu emen
P og amme [PSPP]) and he Pandemic Eme gency
Pu chase P og amme (PEPP) o ced Spain o educe
spending and adop igh e iscal measu es, causing
a cooling o he economy; in 2022. In addi ion, eco-
nomic ensions and dis up ions caused by he wa in
Uk aine in 2022 had a subs an ial impac by inc eas-
ing ood, anspo , and ene gy p ices, causing high
in la ion (Cáma a & Jiménez, 2023).
Due o all hese high-p o ile e en s, Spain p esen s
a unique con ex o his analysis due o i s speci ic
economic and poli ical landscape, which dis inguish-
es i om o he coun ies. The Spanish economy has
expe ienced a signi ican slowdown and s uc u al
challenges in ecen yea s, such as high le els o un-
employmen and signi ican public deb . These ac o s
con ibu e o he dis inc i e na u e o Spain's so e -
eign isk p emium and unde sco e he impo ance o
unde s anding he mac oeconomic a iables a play.
Likewise, he cu en economic si ua ion is ma ked by
he ise in in e es a es, he ise in in la ion and he
es ablishmen o he ECB's new pu chase p og amme,
he TPI (T ansmission P o ec ion Ins umen , July
2022), a mechanism ha allows he pu chase o deb
om coun ies such as Spain, whe e i conside s ha
he ise in hei isk p emiums pu s he ansmission
o mone a y policy a isk. This ins umen o e s
Spain he possibili y o s abilizing i s isk p emium
and educing inancing cos s p o ided ha s uc u al
e o ms a e complied wi h in i s iscal and spending
policies.
The e o e, o de elop his wo k, he ollowing
s uc u e is conside ed: a e he in oduc ion, he
ma e ial and me hods sec ion deals wi h he heo-
e ical amewo k, he a iables and he me hodology
used, ollowed by he esul s and discussion, and i-
nally he conclusions.
2. Theo e ical F amewo k2. Theo e ical F amewo k
The main heo ies, concep s and exis ing li e a u e
ha suppo he app oach o he s udy and he
hypo heses ha a e aised a e p esen ed below.
2.1. His o ical Backg ound
Among he unc ions o a s a e a e o acqui e
goods, p o ide public se ices and achie e an
adequa e s a e o well-being o i s popula ion.
These unc ions lead i o in e ene in he economy
o educe economic and social inequali y and
gene a e public spending ha can be inanced
wi h public e enues, ob ained mainly om axes.
Howe e , as hese e enues a e o en insu icien
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Vol. 19 Issue 1 18-452025
o mee all he S a e's expendi u es, i equen ly
eso s o o he o ms o inancing (indeb edness
h ough he issuance o public deb o , i possible,
money c ea ion).
The e o e, go e nmen de ici and indeb edness
a e somewha in e ac ing mac oeconomic a iables
ha cha ac e ize he o e all economic- inancial
en i onmen . The in es o de ec s g ea e inancial
isk in his in es men s, due o he unce ain y o
possibili y ha he eal e u n on he in es men is
di e en om he expec ed e u n. Thei wo sening
o en leads o a loss o in es o con idence in a
coun y's economic policy and equen ly has a
nega i e impac on he ma ke s and can a ec he
so e eign isk p emium.
As a esul , inancial ma ke s can penalize
go e nmen s o hei lack o iscal discipline and/
o hei indeb edness h ough he isk p emium,
which pushes so e eign bond yields highe . And
a ise in he public de ici can condi ion economic
g ow h, ei he by ha ing o inc ease he ax bu den
o by ha ing o inc ease i s indeb edness.
Fo i s pa , he Keynesian school (1936) was one
o he mos signi ican schools o economic hough ,
ad oca ing s a e in e en ion h ough iscal and
mone a y policies o co ec ma ke imbalances
and o p omo e ull employmen , p ice s abili y and
economic g ow h. The Keynesian school de ended
he inc ease in public spending o s imula e
agg ega e demand and deb was undamen al o
inance his public spending wi hou he need o
inc ease iscal p essu e, hus b eaking wi h he
adi ional a e sion o public deb .
The classical school (la e eigh een h cen u y
o he ea ly wen ie h cen u y), ep esen ed by
economis s such as Smi h, Rica do, Mal hus
o S ua Mill we e no in a o o public deb ,
al hough hey we e no o ally opposed o i , since
hey conside ed some posi i e e ec s, such as
being a o m o in es men o sa ings, allowing an
inc ease in weal h, inc easing e ec i e demand o
ans e ing he bu den o ex ao dina y expenses
o u u e gene a ions when hey a e a o ed by
hem (Lluch, 1972).
The Chicago School (mid-20 h cen u y), known
as he new classicism and ep esen ed mainly by
Mil on F iedman, was cha ac e ized by ejec ing
he ideas o Keynesianism and de ending he
ee ma ke , he a ionali y o public spending
and mone a ism, belie ing ha a cons an and
mode a e expansiona y money supply would
egula e he economy.
Co e ing he public de ici , wi h axes o deb ,
has been he subjec o in e es o e ime, schools
o economic hough and g ea economis s such as
Smi h, Keynes o F iedman ha e app oached hei
s udy wi h di e en conclusions.
2.2. Concep ual Backg ound
Globaliza ion has led o a wo ldwide economic
and inancial in e ela ion be ween coun ies,
causing a con agion e ec wi h posi i e o nega i e
epe cussions (Balles e e al., 2019; Bei ne &
F a zsche , 2013; F y-McKibbin e al., 2014). This
p ocess has made i possible o in es o s o ha e
in o ma ion o selec hose in es men s ha bes
sui hei decisions based on ce ain objec i es o
be achie ed.
In his con ex , inancial ma ke s play a
undamen al ole in he unc ioning o he
economy and, in gene al, in he inancial sys em.
Mo eo e , i he ma ke s a e e icien , hey o e all
he in o ma ion a ailable and in es o s can choose
he mos app op ia e op ions acco ding o ce ain
c i e ia, such as he e u n and isk hey wish o
assume, which a e ele an cha ac e is ics o any
inancial asse and o public deb . All his means
ha he e can be an in e ac ion be ween inancial
ma ke s and some a iables ex e nal o he ma ke
ha can in luence he p ice o he asse (Flanne y &
P o opapadakis, 2002).
The mac oeconomic li e a u e deals wi h he
s udy o mone a y policy and among i s e ec s,
analyzes hose ela ed o asse p ices. Public deb
as a inancial asse also in e ac s in he ield o
inancial economics wi h alua ion models, which
a emp o es ima e he p ice o an asse based on
he upda ing o expec ed u u e yields, wi h an
app op ia e discoun a e acco ding o he isk o
he asse .
Economic heo y also conside s ha he in es o
should be compensa ed o he isks associa ed
wi h his in es men and, he ewa d is p oduced
by he isk p emium, whe eby iskie in es men s
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So e eign Risk P emium and Mac oeconomy: Causal Rela ionship
This wo k is licensed unde a C ea i e Commons A ibu ion 4.0 In e na ional License.
a e expec ed o ha e a ela i ely highe e u n han
sa e in es men s (Damoda an, 1999). Mo eo e ,
economic heo y conside s ha as he alue o he
isk p emium inc eases, he cos o inancing o
di e en economic agen s is highe . Consequen ly,
his ans e e ec has an impo an impac on
he p ice and e u n o inancial asse s, bu also
on he economy in gene al, as i can condi ion
consump ion, sa ing and in es men decisions and
a ec g ow h, which will ha e an impac on he isk
p emium.
The e a e au ho s who s a e he in luence o
poli ical, social, economic and e en in e na ional
ac o s on he isk p emium (Alessand ini e al.,
2012; Ál a ez e al., 2020; Fa e o & Missale, 2012;
Ge lach e al., 2010; Mal i z, 2012; Remolona e al.,
2007). In addi ion, he e a e public agencies, such
as he IMF (2017) and he Eu opean Commission
(2018), which es ima e ha he isk p emium
inc eases by 3 o 4 basis poin s o each pe cen age
inc ease in he deb - o-GDP a io abo e 60%.
The cos o so e eign public deb has been
add essed in he li e a u e, wi h esea ch usually
ela ing i s a ia ion o bo h in e nal coun y and
ex e nal ac o s (Manganelli & Wolswijk, 2009;
Dahlquis & Hassel o , 2013, Ál a ez e al., 2020
o B e sche e al. 2023). Howe e , he e is no
consensus in esea ch on which in e nal and/
o ex e nal a iables a e signi ican in explaining
he cos o so e eign deb and he le el o he isk
p emium.
On he one hand, Ál a ez (2020) and B e sche
(2023) a gue ha he ma ke does no always
ake he same isk ac o s as de e minan s in i s
assessmen o he isk p emium o so e eign deb
and ha i does no beha e a ionally, in pe iods o
g ow h i unde es ima es isk while in pe iods o
unce ain y i o e eac s. This way o ac ing means
ha he mac oeconomic a iables ha de e mine
economic g ow h and he isk o an in es men do
no always ha e he same weigh on in es o s o on
he isk p emium, ob aining con adic o y esul s.
On he o he hand, Dahlquis & Hassel o (2013)
a gue ha isk p emiums depend on bo h coun y-
speci ic and global ac o s, and ha global ac o s
appea o o se mo emen s in expec ed e u ns and
expec ed sho - e m in e es a es, so ha cu en
e u ns a e li le a ec ed.
Ne e heless, he e a e wo ks ha s a e ha
mac oeconomic a iables usually pa ially jus i y
he a ia ion o he isk p emium (Lud igson &
Ng, 2009; Ga cía & We ne , 2016). Some o hese
mac oeconomic a iables used a e he le el o deb ,
iscal imbalance and economic g ow h (GDP), used
o measu e deb o iscal de ici ela i ely. Thus,
he e a e au ho s who ecognize he impo ance
o economic g ow h and, in addi ion, conside
ha he isk inc eases wi h he inc ease in public
deb (Alcidi & G os, 2018; A dagna e al., 2007;
Aßmann & Boysen-Hog e ee, 2012; Be no h e
al., 2006; Blancha d, 2019; Cecche i e al., 2011;
Laubach, 2009; Reinha & Rogo , 2010; Reinha
e al., 2012). The e is also esea ch linking he
cos o so e eign go e nmen deb o in e es
a es (Cakici, 2024; Codogno e al., 2003; Fues
& G os, 2019; Haugh e al., 2009; Laubach, 2003;
Manganelli & Wolswijk, 2009). And he ac is ha
he e olu ion o in e es a es se by he ECB e lec s
he s a e o he Eu ozone economy, which is usually
ele an o in e na ional in es o s when making
in es men decisions.
Two exogenous a iables ha e been included
posi i e and empo a y shock o he isk p emium
wi h public deb and public spending. The model
also ela es i o a all in p oduc ion, labo supply,
and loans.
Conside ing he li e a u e, we can assume ha
he e may be a ela ionship be ween mac oeconomic
a iables and he isk p emium, howe e , o
adequa ely desc ibe he possible hypo heses, we
mus exp ess which mac oeconomic a iables a e
going o be conside ed o each o he aspec s:
c edi isk, mone a y policy, economic g ow h,
socioeconomic ac o s, isk a e sion, ex e nal
economic indica o s, ... The e o e, i is desc ibed
below which a iables ha e been decided o include
in he s udy, wha li e a u e jus i ies i and wha
hypo heses a e aised.
2.3. Va iable Selec ion And Hypo heses
The a iables selec ed o analysis (Table 1)
co e a wide ange o ac o s, such as c edi isk,
mone a y policy, economic g ow h, socio-economic
indica o s and isk a e sion. Each o hese a iables
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has been ca e ully chosen o ensu e ep esen a ion
o he mac oeconomic en i onmen . The c edi
isk a iables e lec he p obabili y o de aul by
bo owe s (DEFAULT, DEBT), p o iding in o ma ion
on inancial s abili y and c edi wo hiness wi hin he
economy. Mone a y policy a iables, which include
in e es a es (CPI) and money supply (M1), a e key o
unde s anding he egula o y amewo k and cen al
bank in e en ions ha in luence economic ac i i y.
Economic g ow h a iables (IPI, ESI) p o ide a
measu e o o e all economic pe o mance and he
coun y's capaci y o expansion and de elopmen .
Socio-economic ac o s, such as he unemploymen
a iable (UNEM), p o ide b oade social con ex
and i s in e ac ion wi h economic pe o mance.
Toge he , hese a iables p o ide a obus and nuanced
desc ip ion o a coun y's mac oeconomic ou look.
Finally, isk a e sion akes in o accoun he si ua ion
o in e na ional isk o con agion. The VIX index is
one o he a iables used o i s es ima ion, i measu es
he u u e o expec ed ola ili y o he S&P 500 index
op ions and is known as he ea index, he highe i is
he highe he pessimism o ea , while i i ends o 0 i
e lec s a eeling o con idence (A ghy ou & Kon onikas,
2011; Bo gy e al., 2011; Ge lach e al., 2010; Güneş e
al., 2024; Kilponen e al., 2012; Remolona e al., 2007).
Also, i is employed he Eu opean ola ili y index
V2TX ha measu es he implied ola ili y o he EURO
STOXX 50 index op ions ma ke , i is an index like
he VIX bu as a e e ence i conside s he Eu opean
ma ke (Alqa alleh, 2024; Kilponen e al., 2015; López
& Espa cia, 2021).
The e o e, he ollowing hypo heses a e es ablished:
1. Reduc ion in he isk p emium (RISK_P) because
o he inc ease in he a iables co esponding o he
mone a y agg ega e M1 (M1), he indus ial p oduc ion
index (IPI), he economic sen imen index (ESI) and
he exogenous a iable CHANGE.
This p emise is suppo ed by wo ks such as hose
o A ghy ou and Kon onikas (2012), Ga cía and
We ne (2016) o Ál a ez e al. (2020), which s a e ha
economic ac i i y educes he isk p emium. Likewise,
in ela ion o he mone a y agg ega e au ho s such as
Baldacci e al. (2011), Kina ede and Wagne (2017),
Mpapalika and Malikane (2019), Tzeng (2023) o
Alqa alleh (2024) indica e ha mone a y expansion
in luences he dec ease in he sp ead in so e eign bond
yields and in he isk p emium. As o he exogenous
a iable CHANGE, he exis ing li e a u e ela es i o
an imp o emen in he economy and he e o e o a
educ ion in he isk p emium.
In u n, he consume p ice index, which es ima es he
coun y's in la ion, he mone a y agg ega e M1, which
de e mines he o al amoun o money in he economy,
and he in e es a e ha e an impac on mone a y policy
(Cas elnuo o & Pelleg ino, 2018; Gnewuch, 2022).
The indus ial p oduc ion index, a a iable conside ed
a p oxy o GDP, measu es p oduc ion, elimina ing
he in luence o p ices. In addi ion, he cu en and
capi al accoun ade balance ep esen s he exchange
o capi al be ween a coun y and he es o he
wo ld, es ima ing he compe i i eness o he economy
(Cakici, 2024; Gómez-Puig e al., 2014; Ma ínez e
al., 2013) and he economic sen imen index ga he s
he opinion o businessmen and consume s h ough a
se o con idence indexes o a ious sec o s (Indus y,
Se ices, Consump ion, Cons uc ion and Re ail T ade)
a e conside ed ac o s in e ela ed o he g ow h o he
economy (Ál a ez e al. 2020; Ga cia & We ne , 2016).
2. Inc ease in he isk p emium (RISK_P) due o he
g ow h o deb /GDP (DEBT), ade de ici (C_DEF),
unemploymen (UNEM), non-pe o ming loans
(DEFAULT), in e es a e (INTEREST), in la ion (CPI),
unemploymen a e (UNEM) and Eu opean V2TX
ola ili y index (V2TX).
This hypo hesis is suppo ed by esea ch ha
poin s ou ha he inc ease in he isk p emium
is a consequence o he de e io a ion o he
mac oeconomy (Alessand ini e al., 2012; Ba ios e
al., 2009; Bei ne & F a zsces, 2013; E e & E e , 2020;
Ga cía & We ne , 2016; Ga cía-Vaque o & Casado,
2011; Kilponen e al., 2015; Mal i z, 2012; Tkalec
e al., 2014). On he exogenous a iable V2TX, he
g ow h o ea o in es men leads o an inc ease in
he isk p emium.
Thus, he public de ici and public deb come o
es ima e c edi isk and a e a iables ha a ec he
iscal si ua ion and he economy's abili y o mee i s
obliga ions. In ela ion o he unemploymen a iable
(UNEM), i measu es unemploymen in ela ion o he
ac i e popula ion and non-pe o ming loans, which
quan i ies he le el o non-compliance wi h paymen
obliga ions, a e ac o s wi h a s ong economic-social
impac and can a ec he isk p emium.
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So e eign Risk P emium and Mac oeconomy: Causal Rela ionship
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3. Ma e ial and Me hods3. Ma e ial and Me hods
3.1. Va iables and In o ma ion Sou ces
The selec ed explana o y a iables a emp o cha ac-
e ize bo h he coun y's mac oeconomic en i onmen
and he in e na ional si ua ion, conside ing as a e e -
ence o he p eceden wo ks (Bakke e al., 2019; Ch is -
o el e al., 2011; Co se i e al., 2012; Hansen, 2019;
Ho dahl e al., 2008).
In sho , he endogenous a iables used a e he isk
p emium (RISK_P); he deb /GDP a io (DEBT); in la-
ion (CPI); he mone a y agg ega e M1 (M1); he in-
e es a e (INTEREST); he economic sen imen index
(ESI); he indus ial p oduc ion index (IPI); unemploy-
men (UNEM); non-pe o ming loans, de e mined by
he a io o non- pe o ming loans o o al loans (DE-
FAULT); he cu en and capi al accoun ade balance
(goods and se ices), de ined by he ade co e age
a io, using he a io o impo expendi u es o expo
e enues (C_DEF) and he public de ici , es ima ed by
he iscal co e age a io, using he a io o iscal expen-
di u es o iscal e enues (DEF_P).
Two exogenous a iables ha e been included ha
co espond o he Eu opean ola ili y index VSTOXX
(V2TX) and he eu o-dolla exchange a e (CHANGE),
wo ex e nal a iables ha aim o cap u e global inan-
cial ins abili y and he pe cep ion o isk in he o eign
exchange ma ke s. The in luence o hese a iables, a
p io i, is independen o he g oup o endogenous a i-
ables ha in e ac wi h each o he . In addi ion, as hey
a e conside ed exogenous, hei changes ha e an impac
on he same pe iod as he dependen a iable. As o
esea ch dealing wi h he ola ili y o inancial ma ke s,
hey usually use, among he a iables, he VIX ma ke
ola ili y index (Alqa alleh, 2024; Aydın & Özel, 2024;
Behe a e al., 2023; Güneş e al., 2024). Howe e , s udies
ha conside he Eu opean ola ili y index V2TX a e
sca ce in he li e a u e, al hough his a iable is s ongly
co ela ed wi h he VIX (An al & Kaszab, 2022; Muñoz
& Gál ez, 2023).
In ela ion o he eu o-dolla exchange a e
(CHANGE), he e a e s udies ha also add ess i s im-
pac unde a ious app oaches (Basu e al., 2024; de
Bee e al., 2022; El Ouazzani e al., 2023; Ekinci e
al., 2024).
The in o ma ion on all he a iables s udied is
mon hly cha ac e , ex ends om Janua y 2004 o De-
cembe 2022 ( o al, 228 pe iods) and has been ob ained
om public o ganiza ions (Bank o Spain (2022) ( a i-
ables: C_DEF, DEFAULT, DEF_P); Na ional Ins i u e o
S a is ics (2022) ( a iables: IPI, CPI); Eu os a (2022)
( a iable: ESI); Eu opean Cen al Bank (2022) ( a i-
ables: M1, INTEREST); and om inancial websi es (In-
es ing (2022) ( a iables: RISK_P, CHANGE, V2TX);
Expansion (2022) ( a iable: DEBT, UNEM)).
In summa y, he a iables s udied a e lis ed in
Table 1.
3.2. Me hodology
To achie e he objec i es o his esea ch, an analysis
o he dynamic in e ela ion be ween se e al a iables
will be ca ied ou .
The main me hods o modeling he dynamic in e -
ela ionship be ween a ious a iables a e he Vec o Au-
o eg essi e Model (VAR) and he Vec o E o Co ec-
ion Model (VECM). The e is some o he me hod such
as he Au o eg essi e Dis ibu ed Lag Model (ADL),
howe e , his ype o analysis is mo e es ic i e, i e-
qui es de ining wha he dependen a iable is, i is a e-
g ession ha in ol es lagging independen a iables, his
model is less sui able o ou s udy.
The me hodology ha applies VAR models is sui -
able o analyzing he in e ela ionship be ween se e al
a iables o e ime. I no only s udies how each a iable
depends on i sel in he pas , bu also how i depends on
he pas alues o he o he a iables, as you don' need
o impose di ec causal ela ionships, bu VAR cap u es
how hese a iables e ol e oge he . These models allow
modeling dynamic and simul aneous ela ionships be-
ween a iables, i is impo an when s udying a iables
ha can in luence each o he , such is he case o he mac-
oeconomic a iables discussed in his s udy (Dellapo -
as e al, 2023).
Ano he possible me hod is he Vec o E o Co ec-
ion Model (VECM). I he se ies a e no s a iona y, bu
he e is a linea combina ion o hem ha is, he a iables
a e coin eg a ed. In his case, one could use VECM e -
o co ec ion models ha combine coin eg a ion wi h
a VAR-like app oach. In his s udy, he coin eg a ion o
he a iables is analyzed and he app op ia e me hod is
decided.
The me hodology applied co esponds o mul i a ia e
models (VAR/VECM), which conside ha all a iables
a e endogenous and he e is an in e ela ion be ween
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hem. These echniques ha e been used by nume ous
au ho s in di e en se ings and, in pa icula , i has
been applied in he con ex o his wo k (Ang e al., 2006;
Beechey e al., 2009; Bo ey-Fulla e al., 2023; Ch is ia-
no e al., 2005; Fo ni & Gambe i, 2016; Gü kaynak &
W igh , 2012; Ja de e al., 2013; Kopp & Williams, 2018;
Rudebusch & Wu, 2008; Shaikh, 2020; Sme s & Wou e s,
2007; Wu, 2003).
Consequen ly, a VAR (p) model (Y ) is de ined by a se
o a iables consis ing o lagged a iables (Y -i) weigh ed
by he coe icien ma ix Ai (i=1,2,..., p), whe e p is he
numbe o lags. Also, by exogenous a iables (X ) a ec -
ed by he coe icien ma ix B and by he dis u bances o
e o e m (e ), conside ed independen and iden ically
dis ibu ed (i.i.d, N(0,Ω )).
Howe e , his VAR model can be e o mula ed by
de ining a VECM model, wi h he ollowing a iables in
le els and di e ences:
The a iables in his model a e:
ΔY = is he di e ence ope a o (Y - Y -1).
π = ma ix wi h ank , con ains he coin eg a ion e-
la ionships be ween he k a iables,
wi h .
Table 1
Va iables S udied, Sou ce and Type o Va iable in Ex ended VAR model
Name
Desc ip ion Sou ce
Type o a iable in ex ended
VAR model
E ec on RISK_P
acco ding o he
hypo heses
RISK_P Spanish Risk P emium In es ing (2022) Endogenous and Main a iable
CHANGE Eu o-dolla exchange a e In es ing (2022) In e na ional Exogenous a iable -
V2TX Eu opean V2TX ola ili y
index
In es ing (2022) In e na ional Exogenous a iable +
IPI Indus ial p oduc ion
index
Na ional Ins i u e
o S a is ics (2022)
Spanish Endogenous a iable -
ESI Economic sen imen
index
Eu os a (2022) Spanish Endogenous a iable -
M1 Mone a y agg ega e Eu opean Cen al
Bank (2022)
Spanish Endogenous a iable +
DEBT G ow h o deb /GDP Expansion (2022) Spanish Endogenous a iable +
C_DEF T ade de ici Bank o Spain
(2022)
Spanish Endogenous a iable +
UNEM Unemploymen a e Expansion (2022) Spanish Endogenous a iable +
DE-
FAULT
Non-pe o ming loans o
o al loans a e
Bank o Spain
(2022)
Spanish Endogenous a iable +
INTER-
EST
In la ion Eu opean Cen al
Bank (2022)
Spanish Endogenous a iable +
IPC In e es a e Na ional Ins i u e
o S a is ics (2022)
Spanish Endogenous a iable +
DEF_P Fiscal expendi u es o
iscal e enues a e
Bank o Spain
(2022)
Spanish Endogenous a iable +
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32
So e eign Risk P emium and Mac oeconomy: Causal Rela ionship
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he a iables makes i necessa y o disca d a VECM
model and app oach he s udy h ough a mul i a i-
a e VAR model.
4.3. VAR Model Resul s
To es ima e he VAR model, i is necessa y o
con e he se ies in o s a iona y, wi h a loga i h-
mic ans o ma ion and wi h a egula di e encing
( ep esen ed wi h ini ial "D"). Also, is necessa y o
de ine he op imal numbe o lags o be used, be-
cause i i is excessi e, i can educe he deg ees o
eedom unnecessa ily o , on he con a y, i i is
educed i can cause a lack o speci ica ion, which
would a ec he au oco ela ion o he esiduals.
The e o e, a ious in o ma ion c i e ia a e applied
o selec he leng h o he lags (Sequen ial (LR), Fi-
nal P edic ion E o (FPE), Akaike (AIC), Schwa z
(SC) and Hannan-Quinn (HQ) es s). These c i e-
ia lead o di e en numbe o delays, Schwa z (SC)
and Hannan-Quinn (HQ)) se a educed numbe
o delays (1 and 3 espec i ely), he Akaike c i e-
ion (AIC), he Sequen ial es (LR) and he inal
p edic ion e o es (FPE) se 7 delays. In addi ion,
o selec he op imal numbe o lags, ano he con-
di ion is es ablished, he absence o au oco ela ion
in he esiduals among hese possibili ies, which i-
nally leads o choose a model wi h 7 VAR lags (7)
(Table 4).
Table 4
VAR Lag O de Selec ion (* lag o de selec ed by he c i e ion, 5% le el)
Lag LogL LR FPE AIC SC HQ
0 3945.55 NA 2.54e-29 -34,52 -34,12 -34,42
1 4310.31 684.33 2.95e-30 -36,73 -34.45* -35,84
2 4560.69 445.36 9.46e-31 -37,82 -33,76 -36,24
3 4782.41 372.81 3.96e-31 -38,69 -32,82 -36.39*
4 4914.18 208.73 3.74e-31 -38,86 -31,08 -35,75
5 5049.24 200.78 3.51e-31 -39,02 -29,38 -35,14
6 5213.56 228.30 2.62e-31 -39,42 -27,93 -34,78
7 5352.52 179.54* 2.55e-31* -39,58* -26,26 -34,20
8 5475.60 147.04 2.99e-31 -39.57 -24,44 -33,48
No e: LR: Sequen ial modi ied; FPE: Final p edic ion e o ; AIC: Akaike; SC: Schwa z; HQ: Hannan-Quinn
Sou ce: Own elabo a ion
Figu e 8
In e se Roo s o AR Cha ac e is ic Polynomial
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Vol. 19 Issue 1 18-452025
Nex , ha ing de ined he VAR model (7), i is
essen ial o s udy i s s a iona i y acco ding o he
alue o he oo s o he cha ac e is ic polynomial.
Thus, when hey a e less han one, being loca ed
wi hin he uni ci cle, i e i ies he s abili y condi-
ion o he model (Figu e 8).
On he o he hand, i is impo an o es he as-
sump ion o a empo al ela ionship be ween he
a iables in a VAR model and o s udy hei causal-
i y o de ine he meaning and ansmission o in-
o ma ion. To his end, he G ange es is used o
de e mine whe he , based on he da a (no on he
heo y), he e is a a iable whose changes p ecede
hose o ano he a iable (Table 5).
In gene al, he causali y analysis e lec s some
ela ionships be ween he di e en mac oeconomic
a iables, al hough he e a e a iables whose be-
ha io is sca ce o somewha mo e es ic ed.
In ela ion o he independen a iables, he isk
p emium has p ac ically no e ec on he emaining
dependen a iables. Likewise, he e a e a iables
ha only a ec some speci ic dependen a iables
(in e es on in la ion and economic sen imen in-
dex on public deb ). The es o he independen
a iables in e ac wi h a g ea e numbe o depen-
den a iables, such as public deb an icipa es some
a iables (economic sen imen index and ade
de ici ), as does he mone a y agg ega e, which is
a p ecu so o ce ain a iables ( isk p emium,
in e es and economic sen imen index), and he
indus ial p oduc ion index, which p ecedes o he
a iables (public deb , public de ici and economic
sen imen index), likewise he public de ici on se -
e al a iables (public deb , in la ion, ade de ici )
o he non-pe o ming loans a e on speci ic a i-
ables ( isk p emium, economic sen imen index,
unemploymen a e and ade de ici ) o he un-
employmen a e on ce ain a iables (indus ial
p oduc ion index, economic sen imen index and
non-pe o ming loans a e) o he ade de ici on
Table 5
VAR G ange Causali y/Block Exogenei y Wald Tes s (p_ alues)
Dependen a iable
Independen
a iable
D(LRISK_P)
D(LDEBT)
D(LINTEREST)
D(LM1)
D(LIPC)
D(LIPI)
D(LDEF_P)
D(LESI)
D(LDEFAULT)
D(LUNEM)
D(LC_DEF)
(Excluded)
P ob. P ob. P ob. P ob. P ob. P ob. P ob. P ob. P ob. P ob. P ob.
D(LRISK_P) 0.200 0.648 0.519 0.966 0.626 0.098 0.202 0.641 0.467 0.478
D(LDEBT) 0.160 0.484 0.658 0.825 0.598 0.242 0.055 0.199 0.770 0.001
D(LINTEREST) 0.998 0.913 0.892 0.029 0.674 0.152 0.170 0.313 0.408 0.085
D(LM1) 0.009 0.289 0.012 0.464 0.608 0.149 0.040 0.861 0.733 0.738
D(LIPC) 0.814 0.579 0.001 0.422 0.430 0.000 0.556 0.296 0.625 0.542
D(LIPI) 0.799 0.023 0.655 0.493 0.210 0.001 0.000 0.243 0.239 0.072
D(LDEF_P) 0.121 0.002 0.336 0.817 0.000 0.579 0.393 0.709 0.686 0.000
D(LESI) 0.703 0.013 0.880 0.758 0.349 0.063 0.499 0.201 0.375 0.074
D(LDEFAULT) 0.014 0.232 0.065 0.264 0.183 0.587 0.544 0.011 0.008 0.029
D(LUNEM) 0.114 0.098 0.404 0.082 0.949 0.006 0.151 0.003 0.036 0.108
D(LC_DEF) 0.105 0.003 0.592 0.295 0.056 0.506 0.000 0.457 0.272 0.895
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So e eign Risk P emium and Mac oeconomy: Causal Rela ionship
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ce ain a iables (public deb and public de ici ).
As o he dependen a iables, he e a e some
ha do no espond o any a iable, such as he
mone a y agg ega e M1 o do so in isola ion o
so
me indi idual a iable (indus ial p oduc ion
index, non-pe o ming loans and unemploymen
a e). The es o he a iables show a somewha
b oade ela ionship depending on he a iables
ha in e ac as an eceden s ( isk p emium, public
deb , in e es a e, in la ion, public de ici , economic
sen imen index, ade de ici ).
Rela i e o exogenous a iables, he Eu opean
ola ili y index VSTOXX (V2TX) is used, which has
he ad an age o being be e adap ed o Eu opean
ola ili y and i s impac is e iden in some a iables,
speci ically i posi i ely in luences he isk p emium
and he mone a y agg ega e M1, a conclusion like
ha eached by Ál a ez e al., (2020) conside ing
he VIX index.
Abou CHANGE a iable, i is used wi h a mac-
oeconomic and inancial app oach in he sense o
analyzing i s in luence on some mac oeconomic
a iables and on he isk p emium. Speci ically, he
eu o-dolla exchange a e in luences some a iables,
in pa icula i is posi i ely ela ed o he in e es a e
and he public de ici and nega i ely o he mon-
e a y agg ega e M1, his beha io is in line wi h he
li e a u e, since when in es o con idence is educed
and isk inc eases, i usually causes weakness in he
eu o. Rega ding he in e es a e on he eu o-dolla
exchange a e, i s e ec is in e p e ed in he sense
ha by inc easing he in e es , he eu o becomes
mo e a ac i e o in es o s, who will demand mo e
eu os, causing he cu ency o app ecia e.
On he o he hand, since he es ima ed VAR
model is s a iona y, i can be e o mula ed in he
o m o mo ing a e ages o ob ain he impulse- e-
sponse unc ion o each a iable. This Impulse-Re-
sponse Func ion quan i ies he empo al e ec ha
an impulse o dis u bance p oduces on one o he
endogenous a iables. In addi ion, as i is assumed
ha he e is an in e ela ion be ween he a iables,
an impac on a a iable no only has epe cussions
on ha same a iable bu is also ansmi ed dy-
namically o he es o he endogenous a iables
h ough hei empo al s uc u e (Hamil on, 1994).
Thus, conside ing he di e en impulse- esponse
unc ions, i is obse ed ha all he a iables e-
spond o changes in hei own inno a ions, gene -
ally dec easing and a enua ing o e ime (Figu e 9).
Figu e 9
Impulse- esponse Func ion o he Va iables o Changes in Own Inno a ions
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In addi ion, a p io i, his impac sp eads o o he
mac oeconomic a iables whose in ensi y o e ec
is condi ioned by he impac and he esponse a i-
able. In he case o he isk p emium D(LRISK_P),
he o he mac oeconomic a iables do no ha e a
signi ican impac , al hough hey cause sligh a ia-
ions wi h changes o sign in he isk p emium.
Fu he mo e, i is ound ha he impac o he in-
e es a e and in la ion is p ac ically nil compa ed
o he g ea e in luence o he non-pe o ming
loans (D(LDEFAULT) and unemploymen a e
D(LUNEM)) (Figu e 10).
Al e na i ely, i is also in e es ing o conside
whe he he isk p emium has an impac on mac-
oeconomic a iables. In gene al, he impac on he
mac oeconomic is educed, al hough in his con-
ex he public de ici , he economic sen imen in-
dex and he unemploymen a e show a somewha
g ea e in e ac ion. In he case o he public de ici
and he economic sen imen index wi hou a clea
end, causing al e na e mo emen s wi h inc eases
and dec eases in hei le els, howe e i s impac on
he unemploymen a e aises he le el o unem-
ploymen (Figu e 11).
As o public deb D(LDEBT), i s e olu ion o e
ime is ma ked by i s own impac and ends o
cause changes wi h al e na ing signs. Howe e , he
impac o he es o he a iables is small and leads
o esponses wi h di e en signs. Ne e heless, he
mac oeconomic a iables cause an impac in which
a ce ain gene al end p e ails, posi i e in he case
o he mone a y agg ega e D(LM1), he unem-
ploymen a e D(LUNEM), non-pe o ming loans
(D(LDEFAULT)) and he ade de ici D(LC_DEF)
and nega i e o he public de ici D(LDEF_P) and
he indus ial p oduc ion index D(LIPI).
Consequen ly, he g ow h o deb is a o ed by
an expansi e mone a y policy, by an inc ease in un-
employmen and non-pe o ming loans and by an
g ow h in he ade de ici , while a ise in economic
ac i i y (indus ial p oduc ion index) and in he
public de ici lead o a con ac ion o deb .
Also, he in e es a e D(LINTEREST) esponds
o i s own impac , oge he wi h he posi i e e
ec
o
Figu e 10
Impac o Mac oeconomic Va iables on he Risk P emium
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36
So e eign Risk P emium and Mac oeconomy: Causal Rela ionship
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in la ion D(LIPC) and he nega i e impac o he mon-
e a y agg ega e D(LM1), while he emaining a iables
a e o li le ele ance o he in e es a e.
In essence, an expansiona y mone a y policy e-
duces he in e es a e, while an inc ease in in la ion
in luences he g ow h o he in e es a e.
Likewise, he esponse o he mone a y agg ega e
M1 D(LM1) o i s own impac is signi ican and o
he emaining mac oeconomic a iables only he
nega i e in luence o some should be highligh ed (in-
la ion D(LIPC), public deb D(LDEBT), indus ial
p oduc ion index D(LIPI) and unemploymen a e
D(LUNEM)).
In conclusion, he e olu ion o mone a y policy
(mone a y agg ega e M1) is condi ioned by i s own
beha io . Howe e , o he mac oeconomic a iables
also in luence mone a y policy decisions, such as an
inc ease in in la ion, deb , he unemploymen a e o
he indus ial p oduc ion index, which end o lead o
a es ic i e mone a y policy.
On he o he hand, in la ion D(LIPC) has an in lu-
ence on i sel and, in gene al, i s esponse is posi i e
wi h pe iods o decline, while he impac o mac o-
economic a iables is insigni ican , despi e he posi-
i e e ec o non-pe o ming loans (D(LDEFAULT)),
he public de ici D(LDEF_P) and he ade de ici
D(LC_DEF) and he nega i e impac o he in e es
a e D(LINTEREST).
Then again, he economic sen imen index D(LESI)
eac s signi ican ly o shocks om he indus ial p o-
duc ion index D(LIPI) and he emaining mac oeco-
nomic a iables ha e a educed in luence, al hough
he e a e some wi h a somewha la ge impac , such
as he in e es a e D(LINTEREST), he unemploy-
men a e D(LUNEM) and he mone a y agg ega e
M1 D(LM1) wi h a nega i e e ec , while public deb
D(LDEBT) has a posi i e in luence.
In sho , he indus ial p oduc ion index and he
economic sen imen index ha e a mu ual ela ionship.
Howe e , he esponse is di e en depending on he
impac : an inc ease in he indus ial p oduc ion index
causes an inc ease in he economic sen imen index,
while an inc ease in he economic sen imen index
causes a dec ease in he indus ial p oduc ion index.
Also, he in luence o ce ain a iables has a a o able
e ec on hese indices, such as an expansi e mone a y
policy, an inc ease in deb o a educ ion in in e es
a es, while an inc ease in he unemploymen a e o
he non-pe o ming loans causes hese indica o s o
all.
Figu e 11
Impac o he Risk P emium on Mac oeconomic Va iables
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Vol. 19 Issue 1 18-452025
As o he public de ici , D(LDEF_P), eac s o i s
own impac wi h a ia ions in he sign o i s esponse.
Howe e , he in luence o he o he mac oeconomic
a iables is educed bu causes a ia ions wi h changes
o sign in he public de ici . Fo some a iables he
posi i e e ec p e ails o e he nega i e one ( isk p e-
mium D(LRISK_P), public deb D(LDEBT), in e es
a e D(LINTEREST), in la ion D(LIPC)) while he
nega i e impac p edomina es o he indus ial p o-
duc ion index D(LIPI).
In gene al, he e olu ion o he public de ici i sel
causes al e na i e mo emen s up and down in i s le el.
Changes in he emaining mac oeconomic a iables
do no ha e a signi ican e ec , al hough he e a e
a iables ha cause a somewha g ea e eac ion on
he public de ici ( isk p emium, public deb , in e es
a e, indus ial p oduc ion index in la ion).
The esponse o non-pe o ming loans
D(LDEFAULT) o he impac o he a iable i sel is
dec easing and pe manen . The emaining mac oeco-
nomic a iables ha e a posi i e e ec (in e es a e
D(LINTEREST), public de ici D(LDEF_P), unem-
ploymen a e D(LUNEM), in la ion D(LIPC)) bu
o he s also ha e a nega i e impac (mone a y agg e-
ga e M1 D(LM1), public deb D(LDEBT))
The e o e, non-pe o ming loans is a a iable in lu-
enced by i s own e olu ion. Howe e , some a iables
end o inc ease hei le el ( he in e es a e, he public
de ici , he unemploymen a e o in la ion), while o h-
e a iables in luence i s decline (mone a y agg ega e
M1 o public deb ).
The unemploymen a e D(LUNEM) esponds o
i s own impac in a dec easing and pe manen way.
Among he mac oeconomic a iables, he nega i e
impac o one g oup o a iables (in la ion D(LIPC),
indus ial p oduc ion index D(LIPI), mone a y ag-
g ega e M1 D(LM1)) mus be dis inguished om
he posi i e e ec o ano he g oup ( isk p emium
D(LRISK_P), in e es a e D(LINTEREST), non-pe -
o ming loans a e (D(LDEFAULT)).
In summa y, he le el o he unemploymen a e
has an impac on i s u u e e olu ion, al hough he
in luence o o he a iables also a ec s his a e, caus-
ing educ ions in he case o an inc ease in in la ion
and indus ial ac i i y o wi h an expansi e mone a y
policy; on he o he hand, he ise in in e es a es and
non-pe o ming loans o e en he isk p emium ends
o aise he unemploymen a e.
The ade de ici D(LC_DEF) eac s o shocks o he
same a iable in a dec easing way and wi h a nega i e
end un il i disappea s. The es o he mac oeco-
nomic a iables p esen an opposi e e ec , some ha e
a nega i e impac (in e es a e D(LINTEREST), non-
pe o ming loans a e D(LDEFAULT), unemploymen
a e D(LUNEM)), while o he s ha e a posi i e in lu-
ence (indus ial p oduc ion index D(LIPI)) and he
public de ici D(LDEF_P) causes changes o sign.
Consequen ly, he ade de ici dec eases wi h a lag
in he ace o inc eases in he in e es a e, unemploy-
men o he public de ici , while an inc ease in he in-
dus ial p oduc ion index ends o inc ease he ade
de ici .
Schema ically, he mos impo an esul s can be
seen in Figu e 12.
5. Discussion5. Discussion
The expe imen al es ima ion o he isk p emium
has been add essed in he li e a u e, howe e , he
esul s a e no conclusi e, and he analysis p oce-
du e used, he a iables conside ed, he ime ho-
izon, he g anula i y o he in o ma ion and e en
he geog aphical en i onmen o he coun y o he
esea ch may ha e an impac (A onso e al., 2012;
Be no h & E dogan, 2012; Ga cía & We ne , 2016;
Geo gou sos & Migiakis, 2013; Haugh e al., 2009;
Kilponen e al., 2015).
In his sense, he in e na ional esul s on he
isk p emium a e con as ing; some au ho s, such
as Bei ne and F a zsche , 2013 o Aizenman e al,
2013 s a e ha in he pe iod p io o he 2008 c isis
he isk p emium was es ima ed o be unde alued,
du ing he pe iod o he 2008 c isis was conside ed
o e alued and, subsequen ly wi h he in e en ion
o he ECB wi h he pu chase o deb i s ee luc-
ua ion was limi ed (Kilponen e al., 2015). Also,
o he esea che s such as Geye e al. (2004) ind
no in e ela ion be ween mac oeconomic a iables
and he isk p emium, while o he s conside ha
he isk p emium is in luenced by he e olu ion
o he mac oeconomy (Bei ne & F a zsche , 2013;
Be no h & E dogan, 2012; Be no h & He wa z,
2021; B e sche , 2023; Cakici, 2024; Reinha &
Rogo , 2010; Tkalec e al., 2014).
In con as o hese esul s, his esea ch shows
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So e eign Risk P emium and Mac oeconomy: Causal Rela ionship
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ha , in gene al, he isk p emium is signi ican ly
condi ioned by he a iable i sel , possibly due o i s
con ol by he ECB since he deb c isis in he EU
in 2010.
On he o he hand, public deb does no ha e a
signi ican e ec on he isk p emium, a esul ha
coincides wi h au ho s such as Be no h abd E do-
gan (2012), Ma inez e al. (2013) o Lagoa e al.
(2022) who ind ha public deb is no signi ican .
Howe e , his esul di e s om ha ob ained by
o he au ho s such as De G auwe and Ji (2012), Be -
no h e al. (2012), Bi (2012), Tkalec e al. (2014),
Kilponen e al. (2015) o Mpapalika and Malikane
(2019) who obse e a posi i e ela ionship wi h is-
cal a iables (public deb and public de ici ).
As o he public de ici , i inc eases he isk p e-
mium, al hough i s impac is delayed and no e y
ele an . This beha io coincides wi h au ho s such
as Sghe i and Zoli (2009), Ba ios e al. (2009),
Baldacci and Kuma (2010), Be no h and E dogan
(2012), Aizenman e al. (2013) o Cos an ini e al.
(2014) who indica e he in luence o he public
de ici on he isk p emium, al hough he e is no
gene al consensus on i s signi icance (Aβmann &
Boysen-Hog e e 2012; S ama opoulos e al., 2017;
Lagoa e al., 2022).
Consequen ly, g ow h o deb /GDP (DEBT) and
ade de ici (C_DEF), do no ha e a signi ican
e ec on he isk p emium in he s udy pe iod,
which means ha he second hypo hesis is no ully
ul illed, howe e , he a iables unemploymen
(UNEM), non-pe o ming loans (DEFAULT), in-
e es a e (INTEREST), in la ion (CPI) and Eu o-
pean ola ili y index V2TX (V2TX) do ha e a posi-
i e in luence on he isk p emium.
The causes may be due o he ECB's con ol o he
isk p emium h ough asse pu chases and he es-
ablishmen o he escape clause a e he ou b eak
o he pandemic, which made i possible o empo-
a ily suspend iscal ules o p o ide go e nmen s
wi h budge a y lexibili y.
In ela ion o he in e es a e, he isk p emium
does no espond o a ia ions in i s le el, al hough
he in e es a e is posi i ely co ela ed wi h public
indeb edness, a esul ha coincides wi h he opin-
ion o o he au ho s such as Conway & O (2002),
Laubach, (2003), Codogno e al., (2003), Be no h e
al., (2006), Manganelli & Wolswijk (2009) o Haugh
e al., 2009.
The impac o he M1 agg ega e on he isk p e-
Figu e 12
Ou line o Key Resul s
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mium is small, howe e , ini ially, an inc ease in he
mone a y agg ega e causes a dec ease in he isk
p emium bu , subsequen ly, he e a e posi i e and
nega i e luc ua ions on he le el o he isk p e-
mium. The e is no consensus in he li e a u e on
he impac o mone a y policy on so e eign bond
ma ke s and on he isk p emium. In ac , while
some pape s ind a signi ican e ec (Al a illa e
al., 2021; De San is, 2020; Kilponen e al., 2015;
K ishnamu hy & Vissing-Jo gensen, 2011), o he
esea ch poin s ou ha i s impac is low (Aas ei
e al., 2017; A nold & V ug , 2010; Cas elnuo o &
Pelleg ino, 2018; Gnewuch, 2022).
As o in la ion, he isk p emium is no a ec ed
by i s beha io , a esul ha coincides wi h ha ob-
ained by Mendonça and Nunes (2011), Mal i z
(2012), S ama opoulos e al. (2017) o Ál a ez e al.
(2020), bu opposi e o ha o o he au ho s such
as Claessens e al, (2009), Ba ios e al., (2009),
Reinha and Rogo (2010), Baldacci e al. (2011),
Alessand ini e al., 2012 o Tkalec e al. (2014) who
s a e ha in la ion in luences he inc ease o he isk
p emium.
As o he Eu opean ola ili y index, V2TX has
a posi i e in luence on he isk p emium and on
he M1 mone a y agg ega e, a conclusion close o
he one eached by Ál a ez e al., (2020) conside -
ing he VIX index, while he eu o-dolla exchange
a e is posi i ely ela ed o he in e es a e and he
public de ici and nega i ely o he M1 mone a y
agg ega e.
In sho , he endogenous a iable, he mone a y
agg ega e M1, e i ies he ini ial hypo hesis (i s
inc ease causes a educ ion in he isk p emium
(RISK_P). Rega ding he g ow h o he a iables
he indus ial p oduc ion index (IPI), he economic
sen imen index (ESI) and he exogenous a iable
CHANGE, i is ound ha hey ha e a nega i e e -
ec on he isk p emium, as indica ed in he i s
hypo heses
The indus ial p oduc ion index and he eco-
nomic sen imen index a e wo a iables wi h
somewha simila beha io on he isk p emium,
al hough hey ha e li le impac on he isk p e-
mium. Howe e , hei g ow h causes a educ ion
in he isk p emium, bu i s e ec is lagged. This
beha io is consis en wi h he esea ch o Baek e
al. (2005), Siklos (2011), A ghy ou and Kon onikas,
2012, Ga cia and We ne (2016) o Ál a ez e al.
(2020) ha mani es he exis ence o a nega i e e-
la ionship wi h he isk p emium.
The impac o he ade balance on he isk p e-
mium is no clea , al hough i s impac is small. This
beha io di e s om ha ob ained in o he pape s
whe e his a iable is ela ed o GDP and hey s a e
ha he de ici in he ade balance inc eases he
isk p emium (Ba ios e al., 2009; Gómez-Puig e
al., 2014; Ma inez e al., 2013; Öza ay e al., 2009;
Raul & A onso, 2011).
Rega ding he eu o-dolla exchange a e, i s e -
ec is in e p e ed in he sense ha by inc easing he
in e es a e, he eu o becomes mo e a ac i e o
in es o s, who will demand mo e eu os, causing he
cu ency o app ecia e
In summa y, he indus ial p oduc ion index, he
economic sen imen index and he ade balance,
a iables ha a e ela ed o he g ow h o he econ-
omy, ha e a weak ela ionship wi h he isk p emi-
um. Howe e , he g ow h o he indus ial p oduc-
ion index o he sen imen index educes he isk
p emium, as hypo hesized in he ini ial hypo hesis.
As o he unemploymen a e and non-pe o m-
ing loans, hei g ow h inc eases he isk p emium,
wi h he di e ence ha non-pe o ming loans a -
ec s in a lagged manne . This esul o he unem-
ploymen a e is simila o ha ob ained in o he
wo ks such as Ba ios e al., 2009; Alessand ini e
al., 2012; Mal i z, 2012 o Kilponen e al., (2015).
Howe e , o non-pe o ming loans, no e e ences
a e ound on i s impac on he isk p emium, al-
hough i is a ac o ha con ibu es o inc ease he
de e io a ion o he economy and, in his sense,
Bei ne and F a zsche (2013) poin ou ha he
de e io a ion o he mac oeconomy is one o he
causes o he inc ease in so e eign isk.
In conclusion, he socio-economic a iables con-
s i u ed by he unemploymen a e and he non-
pe o ming loans a e seem o ha e an impac on
he isk p emium. An inc ease in he unemploy-
men a e o in he non-pe o ming loans a e in-
c eases he isk p emium, con i ming he ini ial
hypo hesis.
As o he emaining mac oeconomic a iables,
he in e ac ion is e lec ed be ween some a iables,
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so he indus ial p oduc ion index educes public
deb , bu public deb also has a posi i e lagged in-
luence on he indus ial p oduc ion index. Like-
wise, mone a y expansion, es ima ed wi h he ag-
g ega e M1, dec eases he in e es a e and in la ion
inc eases in e es a e.
6. Conclusions6. Conclusions
This pape in es iga es he explana o y and p e-
dic i e powe o mac oeconomic ac o s on he isk
p emium in Spain. Unde s anding he de e minan s
o he isk p emium is becoming inc easingly im-
po an o bo h in es o s and policy make s. Mo e-
o e , in ecen yea s, his in e es has inc eased in he
wake o he 2008 c isis and he e olu ion o so e -
eign deb ma ke s is becoming inc easingly ele an
o mone a y policy. The e o e, he s udy o hei
link wi h he gene al mac oeconomic si ua ion has
become an issue o some impo ance also om he
poin o iew o u u e policies o be de eloped.
This esea ch con ibu es o ex end he s udy on
he ole o mac oeconomic a iables in explain-
ing he isk p emium using an empi ical app oach
based on VAR models wi h an analysis o he ime
s uc u e o mac oeconomic ac o s and he isk
p emium.
The esul s ob ained show ha mac oeconomic
ac o s such as he mone a y agg ega e M1, he non-
pe o ming loans o unemploymen a e play a ole
in o ecas ing he isk p emium, while he o he
a iables ha e li le in luence o e he s udy pe iod.
Consequen ly, mac oeconomic ac o s a e sca ce-
ly ele an o p edic ing he beha io o he isk
p emium, despi e he exis ence o some a iable ha
exe s some in luence and, he e o e, leads o di e -
en ia e be ween he isk p emium obse ed in he
so e eign deb ma ke and he isk p emium es i-
ma ed h ough mac oeconomic undamen als. No
does he isk p emium signi ican ly a ec mac oeco-
nomic a iables; i is he mac oeconomic a iables
hemsel es ha a e ela ed o each o he .
In gene al, some o he esul s ob ained coincide
wi h hose epo ed in he li e a u e, such as he in-
dus ial p oduc ion index, he economic sen imen
index, he unemploymen a e o he non-pe o m-
ing loans a e, while he e is no consensus as o he
size o hei impac on he isk p emium.
7. Limi a ions and Fu u e Resea ch 7. Limi a ions and Fu u e Resea ch
Di ec ionsDi ec ions
The esul s ob ained may be o in e es o esea ch-
e s, since om his s udy hey can design o he analy-
ses ha include he a iables ha ha e u ned ou o
be signi ican and o he a iables ha ha e no been
ea ed, pe haps wi h social o poli ical cha ac e is ics.
Fo poli ical leade s, who, in iew o he unemploy-
men a e o non-pe o ming loans, can make deci-
sions in ad ance on social o iscal policies ha educe
he expec ed g ow h o he isk p emium.
Finally, i can also be o in e es o in es o s, because
knowledge o hese ela ionships wi h mac oeconomic
indica o s can p o ide ad ance in o ma ion on isk
p emium mo emen s, acili a ing hei in es men
decisions.
Mac oeconomic a iables, pa icula ly he isk p e-
mium, play an essen ial ole in shaping policies ha
p omo e s abili y and economic g ow h, imp o ing
Spain's posi ion in he global inancial landscape.
I is impo an o no e ha he deg ee o di e en ia-
ion be ween coun ies is signi ican , each wi h a di -
e en poli ical, social, economic, inancial, and iscal
s uc u e, which means ha any change in Eu opean
mone a y policy by he ECB can be ansmi ed he -
e ogeneously be ween he coun ies o he Eu ozone
and, he e o e, he eac ion o he inancial ma ke s
o ce ain mone a y policy decisions is asymme ical.
This di e en beha io o coun ies in he ace o deb
policies limi s he possible ex apola ion o he esul s
o o he coun ies. In addi ion, al hough he selec ion
o he a iables o be included in he s udy has been
jus i ied, he mac oeconomic o ien a ion o he s udy
may be limi ing, because i has led us o he non-inclu-
sion o social o poli ical a iables ha could also a ec
he isk p emium.
Re e encesRe e ences
Aas ei , K., Na ik, G. J., & Sola, S. (2017). Eco-
nomic unce ain y and he in luence o mone a y
policy. Jou nal o In e na ional Money and Fi-
nance, 76, 50–67.h ps://doi.o g/10.1016/j.jimon-
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