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Spillovers from the European Central Bank's asset purchases to countries in Central and Eastern Europe
Antal, Mark; Kaszab, Lorant - In: Economic modelling 113 (2022), pp. 1-11
Persistent link: https://www.econbiz.de/10013349300
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Sovereign bond yield spillovers in the Euro zone during the financial and debt crisis
Antonakakis, Nikolaos; Vergos, Konstantinos - In: Journal of international financial markets, … 26 (2013), pp. 258-272
Persistent link: https://www.econbiz.de/10010234872
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Sovereign Bond Yield Spreads Spillovers in the EMU
Afonso, António - 2018
We study the sovereign bond market co-movements and spillovers within 10 EMU countries, the so-called “periphery” and “core” countries, during the period 1999:01 to 2016:07. Implementing Generalized Methods of Moments (GMM) within a panel setting and bivariate VAR analysis, we find that...
Persistent link: https://www.econbiz.de/10012909077
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Sovereign Bond Yield Spillovers in the Euro Zone During the Financial and Debt Crisis
Antonakakis, Nikolaos - 2014
In this paper we examine sovereign bond yield spread (BYS) spillovers between Euro zone countries during a turbulent …
Persistent link: https://www.econbiz.de/10013058578
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Sovereign bond yield spreads spillovers in the Economic and Monetary Union
Afonso, António; Kazemi, Mina - In: International journal of finance & economics : IJFE 27 (2022) 2, pp. 2615-2626
Persistent link: https://www.econbiz.de/10013184914
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International effects of a compression of euro area yield curves
Feldkircher, Martin; Gruber, Thomas; Huber, Florian - 2019
flattening of euro area yield curves. Our findings indicate positive effects on real activity and prices, both within the euro …-step-ahead forecasts conditional on the euro area yield curve shock improve Sharpe ratios relative to other investment strategies. …
Persistent link: https://www.econbiz.de/10012030981
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Public debts, deficits and interest rates in CEECs : are there spatial spillovers?
Perović, Lena Malešević - In: Post-communist economies 30 (2018) 5, pp. 675-692
Persistent link: https://www.econbiz.de/10011957331
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Causality-in-variance and causality-in-mean between the Greek sovereign bond yields and Southern European banking sector equity returns
Tamakoshi, Go; Hamori, Shigeyuki - In: Journal of economics and finance 38 (2014) 4, pp. 627-642
Persistent link: https://www.econbiz.de/10011333821
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Macro news and bond yield spreads in the Euro area
Caporale, Guglielmo Maria; Spagnolo, Fabio; Spagnolo, Nicola - 2014
This paper analyses the effects of newspaper coverage of macro news on the spread between the yield on the 10-year … yield spreads in all PIIGS countries but Italy before September 2008; markets respond more to negative news, and their … reaction has increased during the recent financial crisis. News volatility has a significant impact on yield spread volatility …
Persistent link: https://www.econbiz.de/10010417491
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Macro news and bond yield spreads in the euro area
Caporale, Guglielmo Maria; Spagnolo, Fabio; Spagnolo, Nicola - 2014
This paper analyses the effects of newspaper coverage of macro news on the spread between the yield on the 10-year … yield spreads in all PIIGS countries but Italy before September 2008; markets respond more to negative news, and their … reaction has increased during the recent financial crisis. News volatility has a significant impact on yield spread volatility …
Persistent link: https://www.econbiz.de/10010417494