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European Sovereign Bond Spreads: Monetary Unification, Market Conditions and Financial Integration
16 references·0 citing·46 second hopsampled
European Sovereign Bond Spreads: Monetary Unification, Market Conditions and Financial Integration (2022)European Sovereign Bond Spreads: Monetary…Flight-to-Quality or Flight-to-Liquidity? Evidence from the Euro-Area Bond Market (2008)Flight-to-Quality or Flight-t…Bond Risk Premia (2005)Bond Risk PremiaYield spreads on EMU government bonds (2003)Yield spreads on EMU governme…Forecasting Output and Inflation: The Role of Asset Prices (2003)Forecasting Output and Inflat…Forecasting Output and Inflation: The Role of Asset Prices (2003)Forecasting Output and Inflat…The Equity Premium (2002)The Equity PremiumRegime Switches in Interest Rates (2002)Regime Switches in Interest R…LAG Length Selection and the Construction of Unit Root Tests with Good Size and Power (2001)LAG Length Selection and the …Markov-Switching Vector Autoregressions: Modelling, Statistical Inference, and Application to Business Cycle Analysis (1997)Markov-Switching Vector Autor…Markov-Switching Vector Autoregressions (1997)Markov-Switching Vector Autor…Efficient Tests for an Autoregressive Unit Root (1996)Efficient Tests for an Autore…What Moves the Stock and Bond Markets? A Variance Decomposition for Long-Term Asset Returns (1993)What Moves the Stock and Bond…Common risk factors in the returns on stocks and bonds (1993)Common risk factors in the re…Efficient Tests for an Autoregressive Unit Root (1992)Efficient Tests for an Autore…The Term Structure as a Predictor of Real Economic Activity (1991)The Term Structure as a Predi…A New Approach to the Economic Analysis of Nonstationary Time Series and the Business Cycle (1989)A New Approach to the Economi…CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)Risk, Return, and Equilibrium: Empirical Tests (1973)The Cross-Section of Expected Stock Returns (1992)On Persistence in Mutual Fund Performance (1997)Illiquidity and stock returns: cross-section and time-series effects (2002)A five-factor asset pricing model (2014)Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation (1982)Trends and random walks in macroeconmic time series (1982)Co-Integration and Error Correction: Representation, Estimation, and Testing (1987)The Great Crash, the Oil Price Shock, and the Unit Root Hypothesis (1989)ARCH modeling in finance (1992)Introductory Econometrics for Finance (2008)Econometric policy evaluation: A critique (1976)The theory and practice of econometrics (1986)The Information in Long-Maturity Forward Rates (1987)A no-arbitrage vector autoregression of term structure dynamics with macroeconomic and latent variables (2003)Out-of-Sample Equity Premium Prediction: Combination Forecasts and Links to the Real Economy (2009)Credit Spreads and Business Cycle Fluctuations (2012)Distribution of the Estimators for Autoregressive Time Series with a Unit Root (1979)Time Series Regression with a Unit Root (1987)Testing for a Unit Root in Time Series Regression (1988)Unit root tests for panel data (2001)A simple panel unit root test in the presence of cross‐section dependence (2007)The equity premium: A puzzle (1985)The Dividend-Price Ratio and Expectations of Future Dividends and Discount Factors (1988)Business conditions and expected returns on stocks and bonds (1989)Predicting returns with financial ratios (2004)Variable Rare Disasters: An Exactly Solved Framework for Ten Puzzles in Macro-Finance * (2012)Dissecting green returns (2022)Stock Market Prices Do Not Follow Random Walks: Evidence from a Simple Specification Test (1988)Household Risk Management and Optimal Mortgage Choice (2003)An Empirical Analysis of Stock and Bond Market Liquidity (2004)Stock Market Uncertainty and the Stock-Bond Return Relation (2005)Comparing Predictive Accuracy (1994)Postwar U.S. Business Cycles: An Empirical Investigation (1997)Monetary Policy Rules and Macroeconomic Stability: Evidence and Some Theory* (2000)The macroeconomy and the yield curve: a dynamic latent factor approach (2005)An Intertemporal Capital Asset Pricing Model (1973)A Theory of the Term Structure of Interest Rates (1985)By Force of Habit: A Consumption‐Based Explanation of Aggregate Stock Market Behavior (1999)Expected Stock Returns and Variance Risk Premia (2009)How Sovereign Is Sovereign Credit Risk? (2011)A PANIC Attack on Unit Roots and Cointegration (2004)Energy consumption, income, and carbon emissions in the United States (2006)Economic growth, energy consumption, financial development, international trade and CO2 emissions in Indonesia (2013)A Comparative Study of Unit Root Tests with Panel Data and a New Simple Test (1999)
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References

  • 1993Common risk factors in the returns on stocks and bonds26,615 cited
  • 1989A New Approach to the Economic Analysis of Nonstationary Time Series and the Business Cycle9,681 cited
  • 1996Efficient Tests for an Autoregressive Unit Root5,637 cited
  • 1992Efficient Tests for an Autoregressive Unit Root4,234 cited
  • 2001LAG Length Selection and the Construction of Unit Root Tests with Good Size and Power3,944 cited
  • 1991The Term Structure as a Predictor of Real Economic Activity1,739 cited
  • 2005Bond Risk Premia1,546 cited
  • 2002The Equity Premium1,331 cited
  • 2003Forecasting Output and Inflation: The Role of Asset Prices1,076 cited
  • 1993What Moves the Stock and Bond Markets? A Variance Decomposition for Long-Term Asset Returns892 cited
  • 2003Forecasting Output and Inflation: The Role of Asset Prices864 cited
  • 2002Regime Switches in Interest Rates854 cited
  • 1997Markov-Switching Vector Autoregressions: Modelling, Statistical Inference, and Application to Business Cycle Analysis761 cited
  • 2008Flight-to-Quality or Flight-to-Liquidity? Evidence from the Euro-Area Bond Market706 cited
  • 1997Markov-Switching Vector Autoregressions583 cited

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  • 2003Yield spreads on EMU government bonds580 cited
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