Spillover Effects in Government Bond Spreads: Evidence from a GVAR Model

Spillover Effects in Government Bond Spreads: Evidence from a GVAR Model

This paper analyses the main drivers of sovereign bond spreads in a globalised world. Specifically, we account for international spillovers of bond spreads by adding an additional driver, namely, financial markets, and allowing interactions across countries and markets. We contribute to the VAR lite...

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Bibliografske podrobnosti
izdano v:MAGKS - Joint Discussion Paper Series in Economics (Band 58-2014)
Glavni avtor: Niehof, Britta
Format: Artikel
Jezik:angleščina
Izdano: Philipps-Universität Marburg 2014
Teme:
Philipps Curve
Wirtschaft
Taylor Rule
Stochastic Differential Equations
New Keynesian Model
Economics
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