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Modelling and forecasting government bond spreads in the euro area: A GVAR model · Study

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ArticleModelling and forecasting government bond spreads in the euro area: A GVAR model

Carlo A. Favero2013

Article2013

Modelling and forecasting government bond spreads in the euro area: A GVAR model

Carlo A. Favero

106 citations·0/0 files stored·Journal of Econometrics

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Global Financial Crisis and Policies Credit Risk and Financial Regulations European Monetary and Fiscal Policies

Abstract

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Citations in this library

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References

2008Measuring Financial Asset Return and Volatility Spillovers, with Application to Global Equity Markets 2005Asset pricing with liquidity risk 2004Modeling Regional Interdependencies Using a Global Error-Correcting Macroeconometric Model 2007Exploring the international linkages of the euro area: a global VAR analysis 2008Flight-to-Quality or Flight-to-Liquidity? Evidence from the Euro-Area Bond Market 2009New Evidence on the Interest Rate Effects of Budget Deficits and Debt 2003Yield spreads on EMU government bonds 2007Debt Defaults and Lessons from a Decade of Crises

Cited by

2016Economic policy uncertainty and risk spillovers in the Eurozone 2018Measuring the propagation of financial distress with Granger-causality tail risk networks 2016Macroeconomic policy uncertainty shocks on the Chinese economy: a GVAR analysis 2017Measuring sovereign risk spillovers and assessing the role of transmission channels: A spatial econometrics approach 2014The role of creditor seniority in Europe's sovereign debt crisis 2016Using connectedness analysis to assess financial stress transmission in EMU sovereign bond market volatility 2018Redenomination Risk 2014Inspecting the Mechanism: Leverage and the Great Recession in the Eurozone⇤

Details

Year2013

Typearticle

Published2013-04-17

VenueJournal of Econometrics

ISSN-L0304-4076

Languageen

Citations106

Files0 public / 0

ShelfGlobal Financial Crisis and Policies

Identifiers

doi10.1016/j.jeconom.2013.04.004

openalex_workW2017702771

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