Sibbertsen, Philipp; Wegener, Christoph; Basse, Tobias - In: Journal of Banking & Finance 41 (2014) C, pp. 109-118
This study tests for a break in the persistence of EMU government bond yield spreads examining data from France, Italy and Spain and using German interest rates as a kind of benchmark. The results reported here provide evidence for breaks between 2006 and 2008. The persistence of the yield...