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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| Formato: | workingPaper |
| Idioma: | eng |
| Publicado em: |
2018
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| Texto completo: | http://hdl.handle.net/10400.5/16267 |
| País: | Portugal |
| Oai: | oai:www.repository.utl.pt:10400.5/16267 |