Utilize este identificador para referenciar este registo: http://hdl.handle.net/10400.5/5264
Título: On the time-varying relationship between EMU sovereign spreads and their determinants
Autor: Afonso, António
Arghyrou, Michael G.
Bagdatoglou, George
Kontonikas, Alexandros
Palavras-chave: Euro area
Crisis
Spreads
Time-series analysis
Time-varying relationship
Data: Fev-2013
Editora: ISEG. Departamento de Economia
Citação: Afonso, António... [et al.]. 2013. "On the time-varying relationship between EMU sovereign spreads and their determinants". Instituto Superior de Economia e Gestão. Departamento de Economia - DE working papers, nº 5/2013/DE/UECE
Relatório da Série N.º: DE working papers;nº 5/2013/DE/UECE
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.
URI: http://hdl.handle.net/10400.5/5264
ISSN: 0874-4548
Versão do Editor: https://aquila.iseg.utl.pt/aquila/getFile.do?method=getFile&fileId=333003&contentContextPath_PATH=/departamentos/ec/lateral/menu-working-papers/nova-serie/2013&_request_checksum_=3c68208847265919882a9b5aea6629f2996f6bdd
Aparece nas colecções:DE - Documentos de trabalho / Working Papers
UECE - Documentos de Trabalho / UECE - Working Papers

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