Afonso, António; Arghyrou, Michael G.; Bagdatoglou, George - ISEG - School of Economics and Management, Department … - 2013
relationship between euro area sovereign risk and the underlying fundamentals is strongly time-varying, turning from inactive to … rule, the set of financial and macro spreads’ determinants in the euro area is rather unstable but generally becomes richer …We use a dynamic multipath general-to-specific algorithm to capture structural instability in the link between euro …