Sovereign bond yields spreads spillovers in the EMU

We study the sovereign bond market co-movements and spillovers within 10 EMU countries, the so-called “periphery” and “core” countries, during the period 1999:01 to 2016:07. Implementing Generalized Methods of Moments (GMM) within a panel setting and bivariate VAR analysis, we find that an increase...

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Bibliographic Details
Main Author: Afonso, António (author)
Other Authors: Kazemi, Mina (author)
Format: workingPaper
Language:eng
Published: 2018
Subjects:
sovereign yields spreads
spillovers
euro area
panel data
Online Access:http://hdl.handle.net/10400.5/16267
Country:Portugal
Oai:oai:www.repository.utl.pt:10400.5/16267

Internet

http://hdl.handle.net/10400.5/16267

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