On the time-varying relationship between EMU sovereign spreads and their determinants
Autor(a) principal: | |
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Data de Publicação: | 2015 |
Outros Autores: | , , |
Tipo de documento: | Artigo |
Idioma: | eng |
Título da fonte: | Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos) |
Texto Completo: | http://hdl.handle.net/10400.5/25556 |
Resumo: | 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. |
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On the time-varying relationship between EMU sovereign spreads and their determinantsEuro AreaCrisisSpreadsTime-Series AnalysisTime-Varying RelationshipWe 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.ElsevierRepositório da Universidade de LisboaAfonso, AntónioArghyrou, Michael G.Bagdatoglou, GeorgeKontonikas, Alexandros2022-09-20T20:19:05Z20152015-01-01T00:00:00Zinfo:eu-repo/semantics/publishedVersioninfo:eu-repo/semantics/articleapplication/pdfhttp://hdl.handle.net/10400.5/25556engAfonso, António … [et al.]. (2015). "On the time-varying relationship between EMU sovereign spreads and their determinants". Economic Modelling, Vol. 44 : pp. 363-371.0264-999310.1016/j.econmod.2014.07.025info:eu-repo/semantics/openAccessreponame:Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos)instname:Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informaçãoinstacron:RCAAP2023-03-06T14:55:07Zoai:www.repository.utl.pt:10400.5/25556Portal AgregadorONGhttps://www.rcaap.pt/oai/openaireopendoar:71602024-03-19T17:09:23.988628Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos) - Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informaçãofalse |
dc.title.none.fl_str_mv |
On the time-varying relationship between EMU sovereign spreads and their determinants |
title |
On the time-varying relationship between EMU sovereign spreads and their determinants |
spellingShingle |
On the time-varying relationship between EMU sovereign spreads and their determinants Afonso, António Euro Area Crisis Spreads Time-Series Analysis Time-Varying Relationship |
title_short |
On the time-varying relationship between EMU sovereign spreads and their determinants |
title_full |
On the time-varying relationship between EMU sovereign spreads and their determinants |
title_fullStr |
On the time-varying relationship between EMU sovereign spreads and their determinants |
title_full_unstemmed |
On the time-varying relationship between EMU sovereign spreads and their determinants |
title_sort |
On the time-varying relationship between EMU sovereign spreads and their determinants |
author |
Afonso, António |
author_facet |
Afonso, António Arghyrou, Michael G. Bagdatoglou, George Kontonikas, Alexandros |
author_role |
author |
author2 |
Arghyrou, Michael G. Bagdatoglou, George Kontonikas, Alexandros |
author2_role |
author author author |
dc.contributor.none.fl_str_mv |
Repositório da Universidade de Lisboa |
dc.contributor.author.fl_str_mv |
Afonso, António Arghyrou, Michael G. Bagdatoglou, George Kontonikas, Alexandros |
dc.subject.por.fl_str_mv |
Euro Area Crisis Spreads Time-Series Analysis Time-Varying Relationship |
topic |
Euro Area Crisis Spreads Time-Series Analysis Time-Varying Relationship |
description |
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. |
publishDate |
2015 |
dc.date.none.fl_str_mv |
2015 2015-01-01T00:00:00Z 2022-09-20T20:19:05Z |
dc.type.status.fl_str_mv |
info:eu-repo/semantics/publishedVersion |
dc.type.driver.fl_str_mv |
info:eu-repo/semantics/article |
format |
article |
status_str |
publishedVersion |
dc.identifier.uri.fl_str_mv |
http://hdl.handle.net/10400.5/25556 |
url |
http://hdl.handle.net/10400.5/25556 |
dc.language.iso.fl_str_mv |
eng |
language |
eng |
dc.relation.none.fl_str_mv |
Afonso, António … [et al.]. (2015). "On the time-varying relationship between EMU sovereign spreads and their determinants". Economic Modelling, Vol. 44 : pp. 363-371. 0264-9993 10.1016/j.econmod.2014.07.025 |
dc.rights.driver.fl_str_mv |
info:eu-repo/semantics/openAccess |
eu_rights_str_mv |
openAccess |
dc.format.none.fl_str_mv |
application/pdf |
dc.publisher.none.fl_str_mv |
Elsevier |
publisher.none.fl_str_mv |
Elsevier |
dc.source.none.fl_str_mv |
reponame:Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos) instname:Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informação instacron:RCAAP |
instname_str |
Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informação |
instacron_str |
RCAAP |
institution |
RCAAP |
reponame_str |
Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos) |
collection |
Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos) |
repository.name.fl_str_mv |
Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos) - Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informação |
repository.mail.fl_str_mv |
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1799131188496957440 |