Narrow search
Showing 1 - 10 of 148,792
Cover Image
Interest rate convergence in euro-candidate countries : volatility dynamics of sovereign bond yields
Gabrisch, Hubert; Orłowski, Lucjan T. - In: Emerging markets finance & trade : a journal of the … 46 (2010) 6, pp. 69-85
Persistent link: https://www.econbiz.de/10009238982
Cover Image
The extreme risk problem for monetary policies of the Euro-candidates
Gabrisch, Hubert; Orłowski, Lucjan T. - 2010
significant degree of leptokurtosis, thus prevalence of tail-risks, in the conditional volatility series of such variables in the …. -- Regeln der Geldpolitik ; Tail-Risks ; Euro-Konvergenz ; weltweite Finanzkrise ; Vermögensrisiko ; Zinsrisiko …
Persistent link: https://www.econbiz.de/10003969864
Cover Image
What can EMU countries’ sovereign bond spreads tell us about market perceptions of default probabilities during the recent financial crisis?
Dötz, Niko; Fischer, Christoph - 2010
This paper presents a new approach for analysing the recent development of EMU sovereign bond spreads. Based on a GARCH-in-mean model originally used in the exchange rate target zone literature, spreads are decomposed into a risk premium, an expected loss component and a liquidity premium....
Persistent link: https://www.econbiz.de/10003974397
Cover Image
Macro news and bond yield spreads in the Euro area
Caporale, Guglielmo Maria; Spagnolo, Fabio; Spagnolo, Nicola - 2014
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
Cover Image
Macro news and bond yield spreads in the euro area
Caporale, Guglielmo Maria; Spagnolo, Fabio; Spagnolo, Nicola - 2014
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
Cover Image
An Update on EMU Sovereign Yield Spread Drivers in Times of Crisis : A Panel Data Analysis
Gómez-Puig, Marta - 2014
We empirically investigate the determinants of EMU sovereign bond yield spreads with respect to the German bund. Using panel data techniques, we examine the role of a wide set of potential drivers. To our knowledge, this paper presents one of the most exhaustive compilations of the variables...
Persistent link: https://www.econbiz.de/10013057493
Cover Image
Volatility Spillovers in EMU Sovereigns Bond Markets
Fernández Rodríguez, Fernando - 2015
We analyse volatility spillovers in EMU sovereign bond markets. First, we examine the unconditional patterns during the … of a dynamic analysis to evaluate net directional volatility spillovers for each of the eleven countries under study, and …
Persistent link: https://www.econbiz.de/10013028329
Cover Image
Financial Stress Transmission in EMU Sovereign Bond Market Volatility : A Connectedness Analysis
Fernández Rodríguez, Fernando - 2015
This paper measures the connectedness in EMU sovereign market volatility between April 1999 and January 2014, in order … end, we first perform a static and dynamic analysis to measure the total volatility connectedness in the entire period …
Persistent link: https://www.econbiz.de/10013028923
Cover Image
A Dynamic Approach to Interest Rate Convergence in Selected Euro-candidate Countries
Gabrisch, Hubert; Orlowski, Lucjan T. - 2009
system stability. Accordingly, we empirically test volatility dynamics of the tenyear sovereign bond yields of the 2004 EU … accession countries in relation to the eurozone yields during the January 2, 2001 untill January 22, 2009 sample period. Our …
Persistent link: https://www.econbiz.de/10010267041
Cover Image
Volatility of yields of government bonds among GIIPS Countries during the sovereign debt crisis in the Euro Area
Heryán, Tomáš; Ziegelbauer, Jan - In: Equilibrium : quarterly journal of economics and … 11 (2016) 1, pp. 61-74
Persistent link: https://www.econbiz.de/10011487821