Political Risk and the Eurozone Sovereign Bond Market

After first assessing the different shifts in spread drivers that materialised over the period 1999-2019 on the Eurozone Sovereign Market, specific attention will be attributed in this thesis to the Economic Policy Uncertainty (EPU) index as a measure of political risk. More particularly, the elaboration of two models, with a financial and macroeconomic specification respectively, will allow us to assess the significance of the index on both the European and national level in order to highlight its potential impact on spreads between 2012 and 2019.