Against the background of the current debate about fiscal sustainability in several advanced economies, this paper estimates determinants of G7 sovereign bond spreads, using high‐frequency proxies for market expectations about macroeconomic fundamentals and allowing for time‐varying...

In this paper, we propose a time-varying parameter vector autoregression (VAR) model with stochastic volatility which allows for estimation on data sampled at different frequencies. Our contribution is two-fold. First, we extend the methodology developed by Cogley and Sargent (2005), and...