Research Repository

On the time-varying relationship between EMU sovereign spreads and their determinants

Afonso, A and Arghyrou, MG and Bagdatoglou, G and Kontonikas, A (2015) 'On the time-varying relationship between EMU sovereign spreads and their determinants.' Economic Modelling, 44. 363 - 371. ISSN 0264-9993

Full text not available from this repository.

Abstract

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.

Item Type: Article
Uncontrolled Keywords: Euro area, Crisis, Spreads, Time-series analysis, Time-varying relationship
Subjects: H Social Sciences > HG Finance
Divisions: Faculty of Social Sciences > Essex Business School
Faculty of Social Sciences > Essex Business School > Essex Finance Centre
Depositing User: Jim Jamieson
Date Deposited: 18 Nov 2016 13:12
Last Modified: 12 Jan 2018 13:15
URI: http://repository.essex.ac.uk/id/eprint/18032

Actions (login required)

View Item View Item