Quantitative easing and sovereign yield spreads : Euro-Area time-varying evidence

We assess the determinants of sovereign bond yield spreads in the period 1999-2016, considering non-conventional monetary policy measures in the Euro area. We use a 2-step approach: i) confirm (by means of model selection methods) and estimate (by means of panel techniques) the determinants of sover...

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Bibliographic Details
Main Author: Afonso, António (author)
Other Authors: Jalles, João (author)
Format: workingPaper
Language:eng
Published: 2018
Subjects:
sovereign bonds
fiscal policy
non-conventional monetary policy
time-varying coefficients
model selection
panel data
Online Access:http://hdl.handle.net/10400.5/15995
Country:Portugal
Oai:oai:www.repository.utl.pt:10400.5/15995

Internet

http://hdl.handle.net/10400.5/15995

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