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On the time-varying relationship between EMU sovereign spreads and their determinants
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Orientador(es)
Resumo(s)
We use a dynamic multipath general-to-specific algorithm to capture structural instability in the link between
euro area sovereign bond yield spreads against Germany and their underlying determinants over the period
January 1999–August 2011. We offer new evidence suggesting a significant heterogeneity across countries,
both in terms of the risk factors determining spreads over time as well as in terms of the magnitude of their
impact on spreads. Our findings suggest that the relationship between euro area sovereign risk and the
underlying fundamentals is strongly time-varying, turning from inactive to active since the onset of the global
financial crisis and further intensifying during the sovereign debt crisis. As a general rule, the set of financial
and macro spreads' determinants in the euro area is rather unstable but generally becomes richer and stronger
in significance as the crisis evolves.
Descrição
Palavras-chave
Euro Area Crisis Spreads Time-Series Analysis Time-Varying Relationship
Contexto Educativo
Citação
Afonso, António … [et al.]. (2015). "On the time-varying relationship between EMU sovereign spreads and their determinants". Economic Modelling, Vol. 44 : pp. 363-371.
Editora
Elsevier