Showing 1 - 7 of 7
This study analyses whether expected budget deficits have an impact on interest rate swap spreads in France, Germany and Italy. We use monthly deficit forecasts from financial market participants to take the forward-looking behaviour of financial markets into account. Results of a SUR estimation...
Persistent link: https://www.econbiz.de/10010295667
transmission to individual EMU countries. Our most important findings are the following. EMU countries share five common trends … 1999 on and of inflation in the mid-1980s and the mid-1990s. To examine the transmission of common shocks to individual EMU …
Persistent link: https://www.econbiz.de/10010295820
increase risk premia measured by relative swap spreads. The effect of deficits is significantly lower under EMU. This effect …
Persistent link: https://www.econbiz.de/10010295824
Inflation differentials within European Monetary Union (EMU) are increasingly seen as exerting adverse effects on the … price competitiveness of member countries' firms and – given the common monetary policy within EMU – as being detrimental to … international price competitiveness for EMU countries, the paper analyses whether these indicators have displayed distinctive trends …
Persistent link: https://www.econbiz.de/10010295845
We disentangle different driving factors of sovereign bond market integration by studying yield co-movements of EMU … increased gradually in the course of the last 15 years in EMU countries, as well as the UK, the US and the German Länder. The …
Persistent link: https://www.econbiz.de/10010295883
From time to time, economies undergo far-reaching structural changes. In this paper we investigate the consequences of structural breaks in the factor loadings for the specification and estimation of factor models based on principal components and suggest test procedures for structural breaks....
Persistent link: https://www.econbiz.de/10010298752
We study the determinants of sovereign bond spreads in the euro area since the introduction of the euro. We show that an aggregate risk factor is a main driver of spreads. This factor also plays an important indirect role for risk spreads through its interaction with the size and structure of...
Persistent link: https://www.econbiz.de/10010300391