A state space approach to measuring the impact of sovereign and credit risk on interest rate convergence in the euro area
Year of publication: |
2014
|
---|---|
Authors: | Arnold, Ivo J.M. ; Ewijk, Saskia E. van |
Published in: |
Journal of International Money and Finance. - Elsevier, ISSN 0261-5606. - Vol. 49.2014, PB, p. 340-357
|
Publisher: |
Elsevier |
Subject: | Bank retail rates | σ-Convergence | Sovereign risk | Credit risk | State space model |
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