Showing 1 - 7 of 7
This paper examines the underlying dynamics of selected euro-area sovereign bonds by employing a factor-augmenting vector autoregressive (FAVAR) model for the first time in the literature. This methodology allows for identifying the underlying transmission mechanisms of several factors; in...
Persistent link: https://www.econbiz.de/10009533553
Persistent link: https://www.econbiz.de/10010351548
Persistent link: https://www.econbiz.de/10011545149
Persistent link: https://www.econbiz.de/10009657000
Persistent link: https://www.econbiz.de/10011979817
This paper examines the underlying dynamics of selected euro-area sovereign bonds by employing a factor-augmenting vector autoregressive (FAVAR) model for the first time in the literature. This methodology allows for identifying the underlying transmission mechanisms of several factors; in...
Persistent link: https://www.econbiz.de/10013106721
This paper examines the underlying dynamics of the Euro-area sovereign bonds most in need of fiscal consolidation by employing a Bayesian time varying parameter factor augmenting VAR (TVP-FAVAR thereafter) model. This methodology is applied for the first time and allows multivariate stochastic...
Persistent link: https://www.econbiz.de/10013076198