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What are the driving factors behind the rise of spreads and CDSs of euro-area sovereign bonds? : a FAVAR model for Greece and Ireland

Apergēs, Nikolaos; Mamatzakis, Emmanuel C. - 2012

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

Testing for regime changes in Greek sovereign debt crisis

Apergēs, Nikolaos; Mamatzakis, Emmanuel C.; … - In: International advances in economic research : IAER ; an … 17 (2011) 3, pp. 258-273

Persistent link: https://www.econbiz.de/10009302940

What are the driving factors behind the rise of spreads and CDS of euro-area sovereign bonds? : a FAVAR model for Greece and Ireland

Apergēs, Nikolaos; Mamatzakis, Emmanuel C. - In: International journal of economics and business research 7 (2014) 1, pp. 104-120

Persistent link: https://www.econbiz.de/10010351548

How are market preferences shaped? The case of sovereign debt of stressed euro-area countries

Mamatzakis, Emmanuel C.; Tsionas, Efthymios G. - In: Journal of banking & finance 61 (2015), pp. 106-116

Persistent link: https://www.econbiz.de/10011545149

The response of household debt to COVID-19 using a neural networks VAR in OECD

Mamatzakis, Emmanuel C.; Ongena, Steven; Tsionas, … - In: Empirical economics : a quarterly journal of the … 65 (2023) 1, pp. 65-91

Persistent link: https://www.econbiz.de/10014329035

Why do households repay their debt in UK during the COVID-19 crisis?

Mamatzakis, Emmanuel C.; Tsionas, Efthymios G.; Ongena, … - In: Journal of economic studies 50 (2023) 8, pp. 1789-1823

Persistent link: https://www.econbiz.de/10014428636

The impact of debt, taxation and financial crisis on earnings management : the case of Greece

Mamatzakis, Emmanuel C.; Pegkas, Panagiotis; … - In: Managerial finance 49 (2023) 1, pp. 110-134

Persistent link: https://www.econbiz.de/10013503605

What are the Driving Factors Behind the Rise of Spreads and CDSs of Euro-area Sovereign Bonds? A FAVAR Model for Greece and Ireland

Apergis, Nicholas - 2012

Persistent link: https://www.econbiz.de/10013106721

Testing for Regime Changes in Greek Sovereign Debt Crisis

Apergis, Nicholas; Mamatzakis, Emmanuel C.; Staikouras, … - 2011

This paper examines whether the efficiency market hypothesis for the Greek sovereign debt holds. As in Blanco et al. (2005) we test the theoretical equivalence of credit default swap (CDS) and spreads that dictates a CI relationship between the two. The main innovation of the present analysis is...

Persistent link: https://www.econbiz.de/10014186483