de Haan, Leo; Hessel, Jeroen; den End, Jan Willem van - In: Journal of International Money and Finance 47 (2014) C, pp. 239-267
This paper examines the extent to which large swings of sovereign yields in euro area countries during the debt crisis can be attributed to fundamentals, focusing on the inherent uncertainty in bond yield models. We show that the outcomes are strongly affected by modelling choices with regard to...