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On the time-varying relationship between EMU sovereign spreads and their determ...
Afonso, António; Arghyrou, Michael G.; Bagdatoglou, George; Kontonikas, AlexandrosWe use a dynamic multipath general-to-specific algorithm to capture structural instability in the link between euro area sovereign bond yield spreads against Germany and their underlying determinants over the period January 1999 – August 2011. We offer new evidence suggesting a significant heterogeneity across countries, both in terms of the risk factors determining spreads over time as well as in terms of the ...
The determinants of sovereign bond yield spreads in the EMU
Afonso, António; Arghyrou, Michael G.; Kontonikas, AlexandrosWe use a panel of euro area countries to assess the determinants of long-term sovereign bond yield spreads over the period 1999.01-2010.12. We find that, unlike the period preceding the global financial crisis, European government bond yield spreads are wellexplained by macro- and fiscal fundamentals over the crisis period. We also find that the menu of macro and fiscal risks priced by markets has been signifi...
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