Sovereign bond yield spreads spillovers in the Economic and Monetary Union

被引：2

作者：

Afonso, Antonio ^{[1
,2
]}

Kazemi, Mina ^{[1
]}

机构：

[1] Univ Lisbon, ISEG Sch Econ & Management, Lisbon, Portugal

[2] UECE Res Unit Complex & Econ, REM Res Econ & Math, Lisbon, Portugal

来源：

INTERNATIONAL JOURNAL OF FINANCE & ECONOMICS | 2022年 / 27卷 / 02期

关键词：

Euro area; panel data; sovereign yields spreads; spillovers; EURO AREA; CONTAGION; EMU; DETERMINANTS; MARKETS;

D O I：

10.1002/ijfe.2290

中图分类号：

F8 [财政、金融];

学科分类号：

0202 ;

摘要：

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.

引用

页码：2615 / 2626

页数：12

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