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Sovereign bond yields spreads spillovers in the EMU

Detalhes bibliográficos
Autor(a) principal: Afonso, António
Data de Publicação: 2018
Outros Autores: Kazemi, Mina
Tipo de documento: Artigo
Idioma: eng
Título da fonte: Repositórios Científicos de Acesso Aberto de Portugal (RCAAP)
Texto Completo: http://hdl.handle.net/10400.5/16267
Resumo: 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 in the lagged spreads of Italian and Austrian bonds negatively affect the spreads of the whole sample while the increase in the Irish, Portuguese, Belgian and French lagged yields increased the overall spreads. In the VAR analysis we find that spillover effects within the sample are mostly positive.
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spelling Sovereign bond yields spreads spillovers in the EMUsovereign yields spreadsspilloverseuro areapanel dataWe 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 in the lagged spreads of Italian and Austrian bonds negatively affect the spreads of the whole sample while the increase in the Irish, Portuguese, Belgian and French lagged yields increased the overall spreads. In the VAR analysis we find that spillover effects within the sample are mostly positive.ISEG - REM - Research in Economics and MathematicsRepositório da Universidade de LisboaAfonso, AntónioKazemi, Mina2018-10-30T11:09:13Z2018-102018-10-01T00:00:00Zinfo:eu-repo/semantics/publishedVersioninfo:eu-repo/semantics/articleapplication/pdfhttp://hdl.handle.net/10400.5/16267engAfonso, António e Mina Kazemi (2018). "Sovereign bond yields spreads spillovers in the EMU". Instituto Superior de Economia e Gestão – REM Working paper nº 052 - 20182184-108Xinfo:eu-repo/semantics/openAccessreponame:Repositórios Científicos de Acesso Aberto de Portugal (RCAAP)instname:FCCN, serviços digitais da FCT – Fundação para a Ciência e a Tecnologiainstacron:RCAAP2025-03-17T16:27:13Zoai:repositorio.ulisboa.pt:10400.5/16267Portal AgregadorONGhttps://www.rcaap.pt/oai/openaireinfo@rcaap.ptopendoar:https://opendoar.ac.uk/repository/71602025-05-29T04:15:20.980021Repositórios Científicos de Acesso Aberto de Portugal (RCAAP) - FCCN, serviços digitais da FCT – Fundação para a Ciência e a Tecnologiafalse
dc.title.none.fl_str_mv Sovereign bond yields spreads spillovers in the EMU
title Sovereign bond yields spreads spillovers in the EMU
spellingShingle Sovereign bond yields spreads spillovers in the EMU
Afonso, António
sovereign yields spreads
spillovers
euro area
panel data
title_short Sovereign bond yields spreads spillovers in the EMU
title_full Sovereign bond yields spreads spillovers in the EMU
title_fullStr Sovereign bond yields spreads spillovers in the EMU
title_full_unstemmed Sovereign bond yields spreads spillovers in the EMU
title_sort Sovereign bond yields spreads spillovers in the EMU
author Afonso, António
author_facet Afonso, António
Kazemi, Mina
author_role author
author2 Kazemi, Mina
author2_role author
dc.contributor.none.fl_str_mv Repositório da Universidade de Lisboa
dc.contributor.author.fl_str_mv Afonso, António
Kazemi, Mina
dc.subject.por.fl_str_mv sovereign yields spreads
spillovers
euro area
panel data
topic sovereign yields spreads
spillovers
euro area
panel data
description 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 in the lagged spreads of Italian and Austrian bonds negatively affect the spreads of the whole sample while the increase in the Irish, Portuguese, Belgian and French lagged yields increased the overall spreads. In the VAR analysis we find that spillover effects within the sample are mostly positive.
publishDate 2018
dc.date.none.fl_str_mv 2018-10-30T11:09:13Z
2018-10
2018-10-01T00:00:00Z
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/10400.5/16267
url http://hdl.handle.net/10400.5/16267
dc.language.iso.fl_str_mv eng
language eng
dc.relation.none.fl_str_mv Afonso, António e Mina Kazemi (2018). "Sovereign bond yields spreads spillovers in the EMU". Instituto Superior de Economia e Gestão – REM Working paper nº 052 - 2018
2184-108X
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 ISEG - REM - Research in Economics and Mathematics
publisher.none.fl_str_mv ISEG - REM - Research in Economics and Mathematics
dc.source.none.fl_str_mv reponame:Repositórios Científicos de Acesso Aberto de Portugal (RCAAP)
instname:FCCN, serviços digitais da FCT – Fundação para a Ciência e a Tecnologia
instacron:RCAAP
instname_str FCCN, serviços digitais da FCT – Fundação para a Ciência e a Tecnologia
instacron_str RCAAP
institution RCAAP
reponame_str Repositórios Científicos de Acesso Aberto de Portugal (RCAAP)
collection Repositórios Científicos de Acesso Aberto de Portugal (RCAAP)
repository.name.fl_str_mv Repositórios Científicos de Acesso Aberto de Portugal (RCAAP) - FCCN, serviços digitais da FCT – Fundação para a Ciência e a Tecnologia
repository.mail.fl_str_mv info@rcaap.pt
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