We develop a structural multivariate spatial regression model allowing us to incorporate both inter- and intralocation effects among different variables. The existing multivariate spatial regression approaches are not able to simultaneously account for these effects. The currently available...

We analyze the importance of different asset holdings for the interdependence of the yield curves in the Euro area using a spatial VAR model. We find that the cross-border holdings of long-term debt and bank lending are important for the interdependence. We also find that comovement in the Euro...