Modelling the Dynamics of Sovereign Risk Premium [Modelarea dinamicii primei de risc suveran]

This paper investigates the main determinants of the market-assessed sovereign risk premium in Romania, measured by the Option-Adjusted Spreads, from 2003 to 2013. The results show that the dynamics of sovereign spreads can be explained by both risk aversion indicators and macroeconomic fundamentals. Domestic fundamentals are found to be significant in explaining those spreads.