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We disentangle different driving factors of sovereign bond market integration by studying yield co-movements of EMU … euro, as well as increasing international capital flows, appear to drive low frequency integration. In contrast, yield …
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This paper sheds light on the impact of global macroeconomic uncertainty on the euro area economy. We build on the methodology proposed by Jurado et al. (2015) and estimate global as well as country-specific measures of economic uncertainty for fifteen key euro area trade partners and the euro...
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In this paper we estimate a Bayesian vector autoregressive model with factor stochastic volatility in the error term to …
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