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The impact of EMU on bond yield convergence: Evidence from a time-varying dynamic factor model
16 references·5 citing·46 second hop
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References

  • 2016Measuring Economic Policy Uncertainty*12,311 cited
  • 2012Econometric measures of connectedness and systemic risk in the finance and insurance sectors2,527 cited
  • 2016CoVaR2,395 cited
  • 1998Stochastic Volatility: Likelihood Inference and Comparison with ARCH Models2,265 cited
  • 2016Measuring Systemic Risk1,846 cited
  • 2000The Generalized Dynamic-Factor Model: Identification and Estimation1,709 cited
  • 1999State-Space Models with Regime Switching1,304 cited
  • 2003International Business Cycles: World, Region, and Country-Specific Factors1,234 cited
  • 2008An Equilibrium Model of “Global Imbalances” and Low Interest Rates1,055 cited
  • 2012The Financial Market Effects of the Federal Reserve's Large-Scale Asset Purchases704 cited
  • 2003Yield spreads on EMU government bonds580 cited
  • 2012The pricing of sovereign risk and contagion during the European sovereign debt crisis567 cited
  • 2016Systemic risk and the macroeconomy: An empirical evaluation559 cited
  • 2004Measuring financial integration in the euro area534 cited
  • 2011Term Premia and Inflation Uncertainty: Empirical Evidence from an International Panel Dataset504 cited

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  • 2008An Equilibrium Model of “Global Imbalances” and Low Interest Rates456 cited
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    • 2018Common business cycles and volatilities in US states and MSAs: The role of economic uncertainty109 cited
    • 2020Nonlinear contagion between stock and real estate markets: International evidence from a local Gaussian correlation approach42 cited
    • 2023Does bank competition affect the transmission mechanism of monetary policy through bank lending channel? Evidence from India20 cited
    • 2019Choice with Limited Capacity1 cited
    • 2021Wishful Thinking in Macroeconomic Expectations0 cited