This study investigates the time-varying determinants of Italian sovereign risk using a Markov-switching structural vector autoregression, estimated on 1990–2018 monthly data. Sign restrictions are used for identification, and allow macroeconomic fundamentals and confidence-related factors to be characterized as separate and regime-dependent drivers of risk. We show that the latter becomes relevant during a crisis regime, when a negative confidence shock triggers demand-like macroeconomic disruptions, and sharp increases in sovereign spreads. Changes in fundamentals, that is, fiscal, supply and demand shocks, are unable to directly explain episodes of sovereign risk surges. Counterfactual simulations highlight the prevailing role of regime-dependent dynamics, where confidence switches tend to characterize the historical evolution of sovereign risk premia and reversals in spreads cyclicality.

这项研究使用马尔可夫切换结构向量自回归对1990年至2018年月度数据进行估计，调查了意大利主权风险随时间变化的决定因素。标志限制用于识别，并允许将宏观经济基本面和与信心相关的因素定性为单独的，取决于制度的风险驱动因素。我们表明，在危机时期，当负面的信心冲击引发类似需求的宏观经济动荡以及主权债务利差急剧增加时，后者变得尤为重要。基本面的变化，即财政，供需冲击，无法直接解释主权风险激增的发生。反事实模拟突显了政权相关动力学的主要作用，