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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
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Euro area unconventional monetary policy and bank resilience
Avalos, Fernando; Mamatzakis, Emmanuel C. - 2018
Persistent link: https://www.econbiz.de/10011979817
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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
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What are the driving factors behind the rise of spreads and CDW of eurozone sovereign bonds? : a panel VAR analysis
Mamatzakis, Emmanuel C.; Remoundos, Panos - In: Global credit review 2 (2012) 2, pp. 79-94
Persistent link: https://www.econbiz.de/10009657000
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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
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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
Apergis, Nicholas - 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/10013106721
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How Euro-Area Sovereign Spreads Respond to Shocks? A TVP-FAVAR Model
Babalos, Vassilios - 2013
This paper examines the underlying dynamics of the Euro-area sovereign bonds most in need of fiscal consolidation by employing a Bayesian time varying parameter factor augmenting VAR (TVP-FAVAR thereafter) model. This methodology is applied for the first time and allows multivariate stochastic...
Persistent link: https://www.econbiz.de/10013076198