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The pricing of G7 sovereign bond spreads – The times, they are a-changin · Study

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ArticleThe pricing of G7 sovereign bond spreads – The times, they are a-changin

Antonello D’Agostino2014

Article2014

The pricing of G7 sovereign bond spreads – The times, they are a-changin

Antonello D’Agostino · Michael Ehrmann

70 citations·0/0 files stored·Journal of Banking & Finance

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Credit Risk and Financial Regulations Financial Markets and Investment Strategies Global Financial Crisis and Policies

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References

2005Time Varying Structural Vector Autoregressions and Monetary Policy 1998Stochastic Volatility: Likelihood Inference and Comparison with ARCH Models 2001Information Technology and the U.S. Economy 2011How Sovereign Is Sovereign Credit Risk?2008Flight-to-Quality or Flight-to-Liquidity? Evidence from the Euro-Area Bond Market 2005Country spreads and emerging countries: Who drives whom?2009New Evidence on the Interest Rate Effects of Budget Deficits and Debt 2003Yield spreads on EMU government bonds

Cited by

2016The role of country-specific fundamentals in sovereign CDS spreads: Eastern European experiences 2015Regime-dependent determinants of Euro area sovereign CDS spreads 2023Central bank policies and financial markets: Lessons from the euro crisis 2017The state dependent impact of bank exposure on sovereign risk 2015Combining Time Variation and Mixed Frequencies: an Analysis of Government Spending Multipliers in Italy

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Year2014

Typearticle

Published2014-06-22

VenueJournal of Banking & Finance

ISSN-L0378-4266

Languageen

Citations70

Files0 public / 0

ShelfCredit Risk and Financial Regulations

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doi10.1016/j.jbankfin.2014.06.001

openalex_workW3021687907

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