{"title":"欧洲货币联盟的主权债券利差溢出效应","authors":"António Afonso, M. Kazemi","doi":"10.2139/ssrn.3271374","DOIUrl":null,"url":null,"abstract":"We study the sovereign bond market co-movements and spillovers within 10 EMU countries, the so-called \"periphery\" and \"core\" countries, during the period 1999:01 to 2016:07. Implementing Generalized Methods for Moments (GMM) within a panel setting and bivariate VAR analysis, we find that an increase in the lagged spreads of Italian and Austrian bonds negatively affect the spreads of the whole sample while in the increase in the Irish, Portuguese, Belgian and French lagged yields increased the overall spreads. In the VAR analysis we find that spillover effects within the sample are mostly positive.","PeriodicalId":283702,"journal":{"name":"ERN: Financial Crises (Monetary) (Topic)","volume":"465 1","pages":"0"},"PeriodicalIF":0.0000,"publicationDate":"2018-10-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":"1","resultStr":"{\"title\":\"Sovereign Bond Yield Spreads Spillovers in the EMU\",\"authors\":\"António Afonso, M. Kazemi\",\"doi\":\"10.2139/ssrn.3271374\",\"DOIUrl\":null,\"url\":null,\"abstract\":\"We study the sovereign bond market co-movements and spillovers within 10 EMU countries, the so-called \\\"periphery\\\" and \\\"core\\\" countries, during the period 1999:01 to 2016:07. Implementing Generalized Methods for Moments (GMM) within a panel setting and bivariate VAR analysis, we find that an increase in the lagged spreads of Italian and Austrian bonds negatively affect the spreads of the whole sample while in the increase in the Irish, Portuguese, Belgian and French lagged yields increased the overall spreads. In the VAR analysis we find that spillover effects within the sample are mostly positive.\",\"PeriodicalId\":283702,\"journal\":{\"name\":\"ERN: Financial Crises (Monetary) (Topic)\",\"volume\":\"465 1\",\"pages\":\"0\"},\"PeriodicalIF\":0.0000,\"publicationDate\":\"2018-10-01\",\"publicationTypes\":\"Journal Article\",\"fieldsOfStudy\":null,\"isOpenAccess\":false,\"openAccessPdf\":\"\",\"citationCount\":\"1\",\"resultStr\":null,\"platform\":\"Semanticscholar\",\"paperid\":null,\"PeriodicalName\":\"ERN: Financial Crises (Monetary) (Topic)\",\"FirstCategoryId\":\"1085\",\"ListUrlMain\":\"https://doi.org/10.2139/ssrn.3271374\",\"RegionNum\":0,\"RegionCategory\":null,\"ArticlePicture\":[],\"TitleCN\":null,\"AbstractTextCN\":null,\"PMCID\":null,\"EPubDate\":\"\",\"PubModel\":\"\",\"JCR\":\"\",\"JCRName\":\"\",\"Score\":null,\"Total\":0}","platform":"Semanticscholar","paperid":null,"PeriodicalName":"ERN: Financial Crises (Monetary) (Topic)","FirstCategoryId":"1085","ListUrlMain":"https://doi.org/10.2139/ssrn.3271374","RegionNum":0,"RegionCategory":null,"ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":null,"EPubDate":"","PubModel":"","JCR":"","JCRName":"","Score":null,"Total":0}
Sovereign Bond Yield Spreads Spillovers in the EMU
We study the sovereign bond market co-movements and spillovers within 10 EMU countries, the so-called "periphery" and "core" countries, during the period 1999:01 to 2016:07. Implementing Generalized Methods for Moments (GMM) within a panel setting and bivariate VAR analysis, we find that an increase in the lagged spreads of Italian and Austrian bonds negatively affect the spreads of the whole sample while in the increase in the Irish, Portuguese, Belgian and French lagged yields increased the overall spreads. In the VAR analysis we find that spillover effects within the sample are mostly positive.
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